Start external VPN Software via Selenium

I am writing tests with Selenium. Before every test, I should open a VPN connection. To do this, I should navigate to a website link, insert credentials, and when I click on Login, a pop up ask me to open the software on PC. Then it will connect automatically. Manually with my browser, it works, but when I start the test, it click on Login, and then I get: "JRE" is not installed on your machine. Install "JRE" and retry. I don't know how to do this. How can I fix this?