After navigating to the folder where you have built OpenConnect, a VPN tunnel can be opened using a terminal command similar to:
sudo ./openconnect --protocol=gp uwmadison.vpn.wisc.edu
For accessing Windows shared folders once connected to the VPN of your choosing, using another program called Gigolo should help make finding the shares via Samba, another networking program, easier (great resource for how to use here: https://www.unixmen.com/how-to-access-remote-linux-and-windows-shares-with-gigolo/).