Use the following link to setup & run OpenVPN on Xenial or any version of Ubuntu.
http://www.vpnbook.com/howto/setup-openvpn-on-ubuntu
Note: You will need to go to http://www.vpnbook.com/freevpn & download an OpenVPN Certificate Bundle. Make sure to write down the VPNBook username & password located on the download page. You will need to to extract the the OpenVPN file/bundle & run the terminal commands (as sudo) from the directory of the extracted VPNBook.