Make sure our software is running from your Applications folder and NOT your Downloads folder, which is sometimes the default location.
The VPN client should be installed with you as the as Admin user. Can you confirm this?
If not you need uninstall and reinstall as an admin user.
If you still have a problem please send the log. Click on the small icon copy and paste the detail in to an email or send a screen shot. We can then take a look.