How to Install OpenVPN Client on Windows
Server - Ubuntu - Windows - Android - Add Users
Download the client: https://openvpn.net/community-downloads/
At the time of this edit, this is the newest file: Download OpenVPN Client
You may also need RealVNC Client: https://www.realvnc.com/en/connect/download/viewer/
At the time of this edit, this is the newest file: Download RealVNC Client
You can watch this video on how to install OpenVPN Client: Video
This is the old way, but it does still function.
Open File Explorer (the yellow one, not the blue one)

Find your way to C:\Program Files\OpenVPN\config and paste your ovpn file

Yes, Windows, I really want to do this!

So... there it is... close Explorer
I named mine punkinpi, as I name my Pi machines weird things... I'm weird.
Click your ovpn file and then Open

Click "Start" button thing, find your way to "O" and OpenVPN...
click OpenVPN GUI
There is likely one on the desktop as well.

This Window should pop up and go away

The green glow lets you know it's connected... enjoy!

Server - Ubuntu - Windows - Android