Its different for each OS you use and we link at the bottom of the wiki to documentation on using OpenVPN with Max, Windows and Linux. Follow those guides.
Thanks Tony,
I looked again and yes, the Linux and Mac do have some type of guide. The Windows option (which is what I used) however just takes you to a download for the client with no guide as to its use.
I have assumed that I need to drop the contents of the zipped client config into the Openvpn/config folder and start the service, this does not however create a vpn on my machine.