Can't set up a VPN

Hello
I am new here. I want to set up a VPN. As suggested by the online help guide, I click on "OpenVPN Client". But it says that there is no network, which is not true as I am connected to the GLINET MT1300 Wifi network. Any hint what's wrong ?
Thanks !
louis

Does the router have any internet? That's the important thing here.

My internet cable is coming from my internet Box. it is plugged in the LAN plug of the router, shall I rather use the WAN plug ?

Yes, WAN always.