Go to: https://psivpn.psi.edu
Login with your PSI username (your email address without the @psi.edu) and your PSI Password.
Click "Install ConnectTunnel"
You will be prompted to install two components: the security manager and the VPN client itself. Follow the on-screen instructions.
When everything is done installing, you'll want to look for a piece of software called Connect Tunnel. If you followed the on-screen instructions, everything will already be setup for you and all you need to do is click connect. (You will be prompted for your password.)
If this doesn’t work, follow the instructions for manual installation.
Due to security concerns, it is not recommended to save your password in the VPN client. It's better to use a password manager to store passwords.