I want to install vpn server on windows/unix for internet access

I want to install vpn server on windows/unix whichever runs best to bypass country restrictions to access web sites.

The main purpose is the divert my all inteet traffic through coected vpn.

I tried to find a suitable solution but couldn't go through with them. I tried to set it up on Azure VMs with linux or windows 2012 r2 but to no avail. I have also tried configuring Azure Network but nothing worked.

Thanks in advance for the help.

Thanks.