Right-click Mobile hotspot at the Action Center and then select Go to Settings.
Turn on Mobile hotspot.
*you may change the Wi-Fi Name and Password by clicking Edit.
Connect to PrivateVPN app.
Go back to Settings window and then click Change adapter options.
Right-click on the VPN adapter (TAP-Windows Adapter V9) then select Properties.
Click Sharing at the top tabs then tick Allow other network users to connect through this computer's Internet connection.
Under Home networking connection, select the Mobile hotspot adapter (Microsoft Wi-Fi Direct Virtual Adapter). Click OK.
Connect your other devices to the Mobile Wi-Fi hotspot to receive VPN access.