If you are on Hotspot Shield Version 10.x.x and above we have added a special feature in the settings version of the application. Multiple Protocols functionality otherwise known as IPsec.
If you are seeing this error from the image below.
Then please verify that you are connecting via IPsec located in the settings portion of the Windows application.
Once you have verified that navigate to your services page and verify if the "Remote access connection manager service" has stopped. If it is stopped, please start that service and retry connecting to the VPN.