I figured it out. (I'm using the latest version of the client from the Downloads page.)
What you have to do if you install the Server on CentOS 6.x:
First, install the server on CentOS as per this guide:
http://www.unixmen.com/setup-openvpn-server-client-centos-6-5/
This guide is for creating a CentOS to CentOS VPN connection, so the guide doesn't talk about obtaining the .OVPN file you need for the client ... it DOES tell you how to get the "client.conf" file though, which is actually the exact same file, but with a different file extension. (I can't believe this isn't referenced anywhere ...)
Anyway, when you've got your "client.conf" file, copy it to a location on your Windows box (along with the 3 certificate / key files referenced in the guide.)
Download and install the latest OpenVPN client from:
http://openvpn.net/index.php/open-source/downloads.html
For Windows Vista, 7, 8, 8.1 64-bit you grab the "openvpn-install-2.3.4-I604-x86_64.exe" at the very bottom of the first table. This IS the client.
NOTE: There WAS an MSI installer that had a much nicer GUI and looked like it also would let you manually configure connections on a client machine for Windows-based OSes. From what I can find, this MSI doesn't exist anymore. The reason so many people keep looking for it though is because 90% of the tutorials I've found for setting this up reference it. 😐
The MSI DID exist ... proof from OpenVPN's own Web site:
http://openvpn.net/index.php/access-server/docs/admin-guides/395-how-to-install-the-openvpn-client-on-windows.html <--- Lame, I know ... a guide for installing it, but no download links or anything. :roll:
Anyway, so after you install the "new and improved" {read:
only} OpenVPN client, copy the 4 files ("client.conf", and the 3 key / cert files) to: %SYSTEMDRIVE%\Program Files\OpenVPN\config
IMPORTANT: Rename the "client.conf" to "client.ovpn".
You're done, the VPN should work now.