Click on the Windows-Startmenu with the right mouse button on OpenVPN GUI and choose run as Administrator.

At the right bottom inside the taskbar will appear a new icon (in the form of 2 red computers and a globe). Click on it with the right mouse button and choose Connect.

A window will open and show the current state of the connection. The window will disappear if the connection was established successfully.

The icon in the taskbar will now change to green and stay so as long as you are connection with VPN.