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It's the red "O" icon, and you'll usually find it in the app drawer. It's the Opera logo at the bottom-right corner of the browser. This opens a menu. If you're using a larger screen, you may have to tap ☰ (the "hamburger" menu) at the top-left corner instead. It's at the bottom of the menu. The switch will turn blue, which means you can now browse privately through a VPN when using a private window. If you want VPN to work for all windows, continue with this method. To open a private browser window to use with VPN, return to the main Opera screen, tap the square with the number of tabs inside, tap the three-dot menu, and then tap New private tab. Opera will only use your VPN in private browsing mode by default. If you want to change when VPN is used, here's what you'll do:  Tap VPN to the left of the slider. Remove the checkmark from "Use VPN for private tabs only" if you'd like VPN to be on all the time. Opera disables VPN by default when you visit search engines like Google and Bing. This is because VPNs make your web traffic seem like it's coming from another location (often another country), which skews your results. If you want to stay on the VPN while searching, slide the "Bypass VPN for search" switch to the Off (gray) position.
Open Opera on your Android. Tap the red "O" icon. Tap Settings on the menu. Slide the "VPN" switch to the On  position. Adjust your VPN settings.