OpenVPN for Windows

OpenVPN for Windows can be installed from the self-installing exe file on the OpenVPN download page. Remember that OpenVPN will only run on Windows XP or later. Also note that OpenVPN must be installed and run by a user who has administrative privileges (this restriction is imposed by Windows, not OpenVPN). The restriction can be sidestepped by running OpenVPN in the background as a service, in which case even non-admin users will be able to access the VPN, once it is installed. More discussion on OpenVPN + Windows privilege issues.
Official OpenVPN Windows installers include OpenVPN-GUI, which allows managing OpenVPN connections from a system tray applet. Other GUI applications are also available.
After you've run the Windows installer, OpenVPN is ready for use and will associate itself with files having the .ovpn extension. To run OpenVPN, you can:

• Right click on an OpenVPN configuration file (.ovpn) and select Start OpenVPN on this configuration file. Once running, you can use the F4key to exit.
  
• Run OpenVPN from a command prompt Window with a command such as:
  

  openvpn myconfig.ovpn

  Once running in a command prompt window, OpenVPN can be stopped by the F4 key.
  
• Run OpenVPN as a service by putting one or more .ovpn configuration files in \Program Files\OpenVPN\config and starting the OpenVPN Service, which can be controlled from Start Menu -> Control Panel -> Administrative Tools -> Services.

Additional Windows install notes.