the windows version is very important here, also if it's a 32bit or 64bit version.
try uninstalling the openvpn package again, make sure all registry keys associated with it are also gone
HKLM\Software\OpenVPN
HKLM\Software\OpenVPN-GUI
and then re-install; on Vista/7 64bit the program will end up in 'C:\Program Files (x86)' ; with openvpn 2.1.4 and 2.2.0 this has been tested and is known to work.