you need to download the pubkey.txt file first, but unfortunately the SSL certificate for secure.openvpn.net has expired.
Here's how you can verify your openvpn download:
wget --no-check-certificate https://secure.openvpn.net/pubkey.txt
gpg --import pubkey.txt
gpg -v --verify openvpn-2.2.1.tar.gz.asc
make sure that the file openvpn-2.2.1.tar.gz is in the same directory. You should see output similar to:
gpg: armor header: Version: GnuPG v1.4.6 (GNU/Linux)
gpg: assuming signed data in `openvpn-2.2.1.tar.gz'
gpg: Signature made Tue Jul 5 09:16:15 2011 CEST using DSA key ID 1FBF51F3
gpg: using PGP trust model
gpg: Good signature from "James Yonan <jim@yonan.net>"
gpg: WARNING: This key is not certified with a trusted signature!
gpg: There is no indication that the signature belongs to the owner.
Primary key fingerprint: C699 B264 0C6D 404E 6454 A9AD 1D0B 4996 1FBF 51F3
gpg: binary signature, digest algorithm SHA1
you can ignore the gpg WARNING.
On Windows you'll need to find a corresponding gpg.exe binary.