No matter what, ALWAYS use a virtual machine when you connect via VPN to CTF365 Arenas.
Bellow you have a video tutorial about how to install a Kali Linux OS instance in VirtualBox.
Note: I added this tutorial with Kali Linux & VirtualBox as I find it very well explained. You can use any virtual solution as any other OS VM that it fits you.
Never use your default, main operating system.