Using Bulk Crap Uninstaller is recommended to get rid of unwanted applications and their files, including bundleware/PUP (Potentially Unwanted Programs). It has quite good detection mechanisms and can spot many programs that other applications may not. It has also pretty good leftover cleanup to get rid of useless registry entries, config folders, etc.
To avoid having such applications installed next time, make sure to run downloaded installers very carefully and uncheck/deselect inputs that can be very well hidden. Or just use a package manager like Chocolatey, which uses scripts that try to make sure that only the app that you want to install gets installed.
I'd also recommend doing a full scan check of your system with Microsoft Defender and Malwarebytes on top, to make sure you didn't get anything else and more dangerous planted into your Windows, as anything could have also slipped by easily if you didn't notice how this VPN was installed.