What is the precise name and location of your client config file ?
Use command prompt and
dir .. eg:
16:40:24.42 C:\Program Files\OpenVPN\config>dir *.ovpn
Volume in drive C is AC_WXPP_064
Volume Serial Number is C86D-87D5
Directory of C:\Program Files\OpenVPN\config
02/02/2015 16:17 6,004 frootvpn.ovpn
10/01/2015 17:21 539 pfSense-cl01.ovpn
10/01/2015 21:25 1,029 tapc_14950u.ovpn
14/01/2015 15:08 1,193 tunc_32145u.ovpn
13/02/2015 15:55 1,727 tunc_36323u.ovpn
30/03/2015 15:36 1,326 tunc_37076u.ovpn
20/03/2015 00:35 1,423 tunc_37323u.ovpn
12/01/2015 19:36 8,422 tuns_37111u.ovpn
8 File(s) 21,663 bytes
0 Dir(s) 31,955,996,672 bytes free
Also, check the registry:
HKLM\Software\OpenVPN\config_dir= ?