You need to download something called OpenVPN. These VPNs are updated a lot, they aren't just the same shitty servers like Frosty's VPN that get updated like once a month.
http://openvpn.net/index.php/open-source/downloads.html
Download one of the installers, it depends on which system you have, 32 bit or 64 bit.
Once you've installed it, you'll need to locate your TAP windows, it can be found in TAP windows folder/Utilities and then create a new TAP virtual ethernet adapter. This can be found in all programs as a shortcut.
Now you've acquired your key, you'll need to know how to add VPNs to your GUI.
Open your GUI. You can find your GUI in this path C
rogram FilesOpenVPNbin.
Alternatively, you may have a shortcut in your all programs files.
You don't have any VPNs, but this website shows you a list of VPNs you can download.
http://www.vpngate.net/en/
You should click on a country you're located in, or if there isn't one available at that moment in time you should click on a country nearby to yours.
Click on a UDP or TCP VPN and place it in your configuration folder, which is located in this path C
rogram FilesOpenVPNconfig.
Now, your GUI should be located on your taskbar, either in your hidden icons or placed on there(depending on your setting). Right click on the icon with two red computers and it should show you the VPN you downloaded and placed in your configuration folder.
If you have any problems with this method, then be sure to hit me up. These are like the only VPNs that are free, and working for GTA:SA which I could acquire.