Go to System PreferencesInternet & Wireless>Sharing and click on> Share your connection option. Now, look for Wi-Fi in computers using section. Go to Wi-Fi Options, set the password for the Wi-Fi network, select the network name, leave the channel selected as default, and re-enter the password. Now, enter the password that you use to connect the Mac with other Apple devices and use it to connect with the VPN. Activate Internet Sharing by clicking Start. Popping up of green light means Internet Sharing is activated.