EasyRSA 3 doesn't seem to be shipping with a Windows shell anymore and it seems the one they were using is tied into a package (I couldn't figure out how to extract them without downloading the CD image and that was too slow - 56kbps). A much faster way I used was to download EasyRSA-3.0.1 (
https://github.com/OpenVPN/easy-rsa/releases) and then shell.w32-ix86.zip (a bash shell from sourceforge) and mktemp.exe from mktemp.org and toss all the executables into the EasyRSA-3.0.1 bin directory.
Copy vars.sample to vars and edit it for your system. You can probably use relative paths to where you run the executable, but I used paths like C:\\EasyRSA-3.0.1 in vars, I'm fairly sure.
Type cmd into the search bar in Windows and right click the icon for it and Run as Administrator. cd into the EasyRSA-3.0.1 directory and run EasyRSA-Start.bat
From here follow the README.quickstart.html and run the commands needed to generate your client and server files (./easyrsa command params). I did not use the default names so I had to update the client and server ovpn files to use my machine names rather than the defaults. I had some weird failures here a couple of times, but rerunning the script worked on the next try. Didn't seem to like the typed yes and would sometimes barf on an awk (but it worked when I tried again...).
Hope that helps~ incidentally I had a personal emergency on my main server and can't afford to replace it right now, but normally I'd run this kind of thing on Linux