|Okay first unselect the best answer, because that wasn't what you were looking for.|
Have you configured a server anywhere to connect to?
I am assuming you are talking about a built in vpn client on your phone. However you have to have a place you are connecting to.
If you have server setting they would come from where you set up the vpn. If you don't have a place you are connecting to you can't connect.
Here are basics on setups