; Date: March 31, 2017
The "VPN" acronym means Virtual Private Network. Often this is used by corporations so employees can access corporate network resources from elsewhere. Theoretically a corporation could use OpenVPN as well, instead of a commercial VPN product, but probably not on a Raspberry Pi.
VPN's give you the illusion of logging into the remote network. For example you can access remote file servers, or any other service, because your computer is virtually present on the remote network.
The instructions in the video refers to this project: http://www.pivpn.io/ -- it's a simplified script to install OpenVPN on a Raspberry Pi.
If you don't want to watch the video, the truncated version of the instructions is -- on a Raspberry Pi running Raspbian Jessie, run this command:
$ sudo curl -L https://install.pivpn.io | bash
Since this is a shell script being executed from a random website, you should inspect the script first.
$ curl -l https://install.pivpn.io >pivpn.sh $ less pivpn.sh .... inspect $ sudo pivpn.sh $ rm pivpn.sh