Windows and Linux are two different operating systems. There are so many distributions of Linux, so choosing the right version for you may not be easy, depending on your needs and your current experience with Linux.
You can try Distrochooser. It will ask you some questions in order to find the most suitable Linux distribution for you. Also, Linux experts recommend Linux Mint for Windows users who want to try Linux and have no experience with it. Its interface is very similar to Windows, making it easy to handle.
Linux can be installed in addition to Windows. When your laptop boots, it will ask you if you want to use Windows or Linux as the operating system. It is also possible to try it before installing it on your hard drive, from a live USB. But it can also replace Windows and be the main operating system of your computer of course.
For the VPN, it is recommended to install it once your operating system is ready to be used. Installing it before you upgrade it may cause issues after (or during) the upgrade. If you decide to go for Linux, instead of Windows and supposing that your VPN is already installed on Windows, you'll need to reinstall it on Linux as it will not be available.
Hope that helps!