In most cases this problem is caused by another program that blocks the installation of the virtual network adapter that is necessary for the secure connection in Online Shield VPN.
If you are using Kaspersky Antivirus or Internet Security 2015, please try the following approach:
1. Open the main window of Kaspersky and click on "Settings" in the lower part of the main window.
2. Now select "Additional", then "Threats and Exclusions".
3. Click on "Specify Trusted Applications", then click on "Add" in the lower right corner and afterwards "Browse" in the lower left.
4. Select the folder C:\Program Files (x86)\Steganos Online Shield\openvpn64\ aus (in 32 bit versions of Windows use C:\Program Files\Steganos Online Shield\openvpn\ instead)
5. In that folder there is a file named "devcon.exe". Select that file, then click on "Add".
6. Check all of the exceptions, then click on "Add".
7. Reboot your system and try using Online Shield again. The virtual network adapter should now be installed successfully and your VPN connection should be established without further issues.