Depending on the ISP and the environment you are currently in - our default connection (UDP) on port 1194 may not work. This can be because of a technical limitation, a hardware restriction (some routers don't like UDP on 1194) or because it's intentionally blocked by your ISP, a Hotel, your Office, the Coffee Shop...
On Windows + MAC + Android (excluding iOS) head to System Settings, then tick TCP override and try to connect again
TCP uses the same port as SSL on 443 which does not allows your ISP to differenciate if you are using a VPN or if you just access an SSL encrypted website.
Most of our customers can easily bypass restrictions using TCP but in rare cases your ISP is using network engineering to block even that.
In case UDP + TCP fail, you may still try to manually setting up a VPN connection using L2TP or PPTP - head over to the manual setup guides for more.