This is pretty common and happens with more programs that use components which changed their configuration or entirely during the upgrade.
We recommend you should first make sure all windows updates are installed. Afterwards, try to remove CyberGhost using the uninstall tool, either CyberGhost's uninstaller or the one from Windows control panel, or a utility uninstaller.
Make sure to keep the antivirus and firewall off during this and the following steps and should you encounter any errors, make sure to take a screen shot.
Change the compatibility mode for the setup program. Right click on the *.exe file, choose properties\ Compatibility and under Compatibility choose Windows 8.
Run the setup executable with elevated privileges (right click on it\ run as admin ...). During the setup, make sure to accept and install all necessary components that the setup will prompt you to install.
Once freshly installed, please disable "Automatic start-up" as it seems that Windows 10 has some issues on this side.
You can also set the compatibility mode (as you did for the setup program) for the CyberGhost executable. To localize the exe file, you can right click on the CyberGhost shortcut from your desktop/start menu and choose "Open file location".
If this does not help, please send us the screen shots of any errors you get so we can investigate the issues.