Login to your Ubuntu server.
Create a new folder:
mkdir vpn && cd vpn
Download and run OpenVPN installer script:
wget https://raw.githubusercontent.com/justdataplease/openvpn-install/master/openvpn-install.sh && bash openvpn-install.sh
Follow the steps to generate a username.ovpn file (during the steps you will be asked, choose a username of your choice).
Login to your Windows computer.
Use an FTP client for Windows like WinSCP to download username.ovpn file locally.
Download OpenVPN for Windows.
When Install finishes open OpenVPN and click + button (orange), then select File and select username.ovpn that we generated previously.
Original Source : https://github.com/Nyr/openvpn-install