The first thing to do is to go to Network Connection. Go to Start > Run > ncpa.cpl. Locate the tunnel adapter, right click it, and select Enable. Then right click the HotSpot Shield and choose Connect. Wait for the browser to open, it should connect normally. If you still encounter issues, try using Revo Uninstaller. Even if it can't uninstall the application normally, it will force it to uninstall all traces of its presence from the system.
After this process, re-install HotSpot Shield and attempt to connect again. I am using this software and it works normally.