Is using a VPN legal in Australia? How do students commonly set one up?

Yes, using a VPN in Australia for privacy or to access region-specific content is legal — the VPN itself isn't the issue, only what you'd do with it that's separately illegal (which is rare for ordinary use). Common student setups: a commercial VPN app (simple, per-device); or a router-level VPN configuration, which covers every device on the network automatically without installing anything per-device. We can help configure the router-level option.