You cannot run Anonytun without a remote SSH server. You can either buy a premium SSH account (faster) or use free public servers (slower, crowded).
Make sure you have at least a small amount of data or an active social media bundle for the "Spoof Host" to tunnel through. You can check your data or buy bundles by dialing MTN Zambia MTN Zambia Are you trying to use a specific data bundle anonytun mtn zambia settings new
: Enter m.facebook.com or mtn.zm (Note: host links may change depending on current network blocks). You cannot run Anonytun without a remote SSH server
The app itself is legal. Bypassing MTN’s restrictions to access free internet can be considered a violation of the Cyber Security and Cyber Crimes Act if used for fraud. Using it for privacy is generally tolerated but not "legal." You can check your data or buy bundles