This error indicates that the software can't read the TCP data from your system for some reason, so it's likely due to some sort of corruption somewhere in your TCP stack.
To fix this, go to Start -> Programs -> Accessories, right-click on Command Prompt, and click Run as Administrator. In Command Prompt, type the following commands, hitting enter after each:
netsh dump netsh winsock reset netsh int ip reset log.txt ipconfig /flushdns exit
After this, go into your Device Manager, expand Network Adapters, and disable each network adapter showing there (not uninstall; just disable). Once one is disabled, re-enable it; this will refresh all TCP bindings to it. Once you've done this to all the network adapters present there, power down your computer, wait 60 seconds, and power it back up.
Finally, after this, go into Start -> Programs -> Private Internet Access, right-click on PrivateInternetAccess.exe, and click Properties. Here, go into Compatibility at the top, and ensure that the option that says "Run this program as an administrator", is enabled. If not, enable it, then apply all the changes, and close out of any windows that are still open.
At this point, try connecting with the app again. If your issues persist, please feel free to contact support at any time by submitting a ticket, and we will respond as soon as possible.