VPN is a Virtual Private Network that is essential while you are accessing the Internet to protect your data privacy, Identity through data encryption and hide your real IP (Internet Protocol). Downloading movies through Torrents or other sites is illegal due to copy right issues. You might get arrested by government or ISP (Internet Service Provider) since they can monitor everything you do including the sites you visit and what you download. To mask your Identity, You need to install a VPN software which is available online and easily configured. Otherwise they will track you down and arrest you for copyright since most of those sites are operated illegally which is really bad. I will provide you a list of free and premiums versions then you can easily choose the one that suits you.
Cyberghost
ExpressVPN
NordVPN
Betternet VPN
Etc.
Some antivirus software comes with their own VPN software so if you need full protection, consider using one of the following antiviruses.