You should watch some youtube videos I am sure they have good tutorials how to set it up correctly (with firewall, config etc) if you are a novice to them.

There is probably a tutorial on the VPN provider's website, it shouldn't be hard to do, it takes like 10 minutes to set it up and then it works perfectly.

One thing that is important is to configure the DNS leaks in the firewall if possible, or timetimes the VPN software auto-configures it on your machine, most of them come with DNS protection so that should be safe.