Solved.
I moved my Windows client to development version of OpenvpnGUI (
http://openvpn.se/development.html) , before I configured a stable one. This is the solution, as dev version is based on 2.1, the stable is on 2.0.
Now the Windows client config file looks like this and works fine, including client-to-client connection:
client
dev tun
proto udp
remote X.Y.Z.Z 1194
topology subnet
nobind
persist-key
persist-tun
ca "c:\\program files\\openvpn\\ca.crt"
cert "c:\\program files\\openvpn\\client5.crt"
key "c:\\program files\\openvpn\\client5.key"
comp-lzo
verb 3