Click on Action Center icon on lower right corner then at the bottom click on VPN
Click on Add a VPN Connection.".
Select and enter below settings to setup your SSTP VPN connection:
VPN provider - select Windows (built-in) option
Connection name - choose a name for this connection, for example VPNConnected SSTP
Server name or address - type VPNConnected server name you want to connect
VPN type - select Secure Socket Tunneling Protocol (SSTP)
Type of sign-in info - select User name and password
Enter your VPN username and password
Check Remember my sign-in info and on Save.
Click on newly created VPN connection VPNConnected SSTP and press Connect.
To disconnect click on Disconnect.