Xbox was created, and is owned, by Microsoft in 2001. It is a video gaming brand that consists of games, streaming services, online service (Xbox Network), Xbox Game Studios and, of course, four generations of consoles.
First generation console is the original Xbox console released in 2001.
Second generation consist of Xbox 360 console, released in 2005, and its two revisions. The first one of the two was Xbox 360 S (S standing for slim) released in 2010, fully replacing the original Xbox 360 console, which was discontinued. The second of the two revisions was released in 2013 as Xbox 360 E.
Third generation was released end of year 2013 as Xbox One. In 2016 Xbox One S was announced, all digital edition of Xbox One was released in 2019, and in 2017 a high end version under the name Xbox One X.
The last, fourth, generation of Xbox consoles, simply named Xbox, consists of Xbox Series X and Xbox Series S. They were lauched in 2020. They are high end and low end consoles comparable with Xbox One X and Xbox One S, with Xbox Series S an all digital version.
Unfortunately, you can't install a VPN on the Xbox consoles. Instead, you can set it up on your wifi router. If you are not ready for a VPN router yet, consider creating a virtual router using a laptop.