Go to: https://psivpn.psi.edu
Login with your PSI username (your email address without the @psi.edu) and your PSI Password.
Click "Install Connect Tunnel"
A window will pop up. Click "Install Connect Tunnel manually".
Follow the on-screen instructions.
When everything is done installing, you'll want to look for a piece of software called Connect Tunnel.
Click on the dropdown menu next to "Configuration" and then click "Add configuration". A new window will pop up. Name the VPN connection anything you want. For the server field use "psivpn.psi.edu". Click apply when done.
To connect, click "Connect". You'll be prompted for your PSI username (email address without the @psi.edu) and your PSI password.
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.