your configuration file is not in the right location, you can right click on the OpenVPN icon/shortcut -> Properties
and in the windows that opens , you have a button "Open File Location" click on that , and go up one folder , there should be the config folder that you need to use.
Just to be clear , this is the client that you should use
https://swupdate.openvpn.org/community/releases/openvpn-install-2.3.8-I601-i686.exe for Win Vista and up on 32 bit OS , and
https://swupdate.openvpn.org/community/releases/openvpn-install-2.3.8-I601-x86_64.exe for 64 bit OS
have fun