Before you install OpenVPN client on Windows Vista, you have to disable Vista’s UAC (User Account Control) as follows:

1.   Open up Control Panel, and type in "UAC" into the search box. You'll see a link for "Turn User Account Control (UAC) on or off":

2.  On the next screen you should uncheck the box for "Use User Account Control (UAC)", and then click on the OK button.