Solution for now is that i installed ldap and that is working fine.
I use in /etc/openvpn/xxx.conf the line plugin /usr/local/lib/openvpn-auth-ldap.so /etc/openvpn/auth-ldap.conf
In /etc/openvpn/auth-ldap.conf i edited the search filter to :
SearchFilter "(&(sAMAccountName=%u)(objectCategory=person)(objectClass=user)(!userAccountControl:1.2.840.113556.1.4.803:=2"
It checks the Login name on windows2008R2 server (cn does not work) and also checks for account disabled or not. "!" means NOT, so searchfilter checks for username with password and that account is not disabled.
For more info on installing ldap on linux/slack
http://code.google.com/p/openvpn-auth-ldap/
Still dont knows why winbind doest work. Only thing is that when i tested ldap with searchfilter "cn=%u" i got the same error as with winbind "unknown user"