(First, let me point out what proXPN is: it is a hosted service offering free and low-cost VPN capability, which is great if you don't already work in an organization that offers one. When you're connecting to public wireless networks (even if they require login), you're at risk of your data being compromised. Of course, if you connect to sites using SSL then the communication is encrypted--though the recent heartbleed bug has challenged that confidence. But with a solution like proXPN, all your communication is encrypted when you enable the VPN. And if one may wonder, proXPN itself was not affected by the heartbleed bug.)
Anyway, if you search for other people talking about the error "Connecting to proXPN has failed", you may find all kinds of solutions, which may well be useful solutions for some people's problems. The vendor site itself has pages (1, 2) that talk about uninstalling it, or turning off anti-virus solutions, etc.
But in my case, the day I got this error it had been working just the day before (as I'm moving between locations), so I knew that reinstalling or turning off other things should not be necessary. So I just tried closing proXPN (right-click on it in the task tray in the bottom right and choose "exit") and reopened it, and that got it working again.
I'm sure glad I thought of that! I'm putting it out here in the hopes it may help others find it.