This guide is pretty good, but I'll also explains the basics here.

You pay a provider for access to Usenet files, which you locate through an indexer, and download through a client such as nzbget.

Picking a provider is the most complicated part. The guide explains how to choose one and r/Usenet has a page in their wiki for good provider deals. I use NewsDemon and they've been fine.

Indexers are pretty much the same as torrent indexers, they can be free or paid, public or private. NZBGeek has been great for me, and AnimeTosho is nice if you want to download anime.

The download clients work similarly to torrent clients with the addition of configuring the connection to your provider. Whichever provider you choose will have instructions for connecting to it.

Downloads aren't peer-to-peer like torrents, so a VPN isnt as necessary, just make sure you pick a provider that doesnt keep logs. It also doesnt hurt to use one if you already pay for one and its not too slow.

One you've picked your provider and indexer, setting everything up is super easy.