Click the Network Manager icon in your taskbar (a "wifi icon" showing signal strength, typically), then Edit Connections … and then the + icon to add a new connection. Click the dropdown list, scroll down to the VPN heading and select your VPN type. As the dialog says, you may have to install a Network Manager plugin if you don't see the VPN type you need, e.g. I had to

$ sudo apt install network-manager-openconnect network-manager-openconnect-gnome

to connect to a Cisco Anyconnect VPN.

You can see available plugins with

$ apt search 'network-manager-*'