if the VPN is working fine (can the VPN client the VPN server and vice versa?) then it's pretty much off-topic for this forum. Changing the network location is not something that OpenVPN (currently) can do for you. Try searching the web, e.g.
http://social.technet.microsoft.com/Forums/en/winservergen/thread/2e1fea01-3f2b-4c46-a631-a8db34ed4f84