there is a new way to build in windows:
https://community.openvpn.net/openvpn/wiki/BuildingOnWindows
but also, this is now enabled by default =]
http://www.openvpn.net/index.php/open-source/documentation/change-log/425-changelog-for-openvpn-22.html
2011.02.28 -- Version 2.2-RC
Added ENABLE_PASSWORD_SAVE to config-win32.h
so any version after that will already support --enable-password-save