The answer is a bit complicated....
Yes, Windows 10 has a built-in VPN client.... but that makes the assumption that you're wanting to connect to some corporate/school that already has a VPN server configured.
However, if you're trying to use a VPN at home to anonymize your traffic inside the Internet, then you'll need "both parts" of the VPN solution... both the VPN client part, and a VPN server part that you will most likely have to pay for.
My personal preference is NordVPN...