Please locate the appropriate Windows build and download it from here:

https://openvpn.net/index.php/open-source/downloads.html

Install it.

Put the client.ovpn file in the c:\Windows\Program Files\OpenVPN\config directory.
Launch the program. Right click on the service icon in the programs tray, and connect
to the client. This will show you a connect dialogue, then ring a bell showing an ip address
assignment. You can verify that your traffic is passing through VPN by visiting this URL:

http://simplicityhosting.com/myip

The ip address should be different from your regular/ISP ip address.