VPN can be enabled to set up a secure channel of communication between your device and another device. VPN stands for a Virtual Private Network.
VPN capability is generally built into the mobile phone but there are also third party apps that can be used.
Additional configuration is needed to set up VPN on your mobile device, such as the VPN server, account name, authentication method (such as an RSA token generator), etc. A VPN administrator may send you a single file that can be used to import and configure these settings for you.