I'm using OpenVPN client on my Palm Treo Pro to connect to OpenVPN server at my office. After connecting I can access my PC and doing some work stuffs. All you need is .ovpn file and several key files (simply asked your OpenVPN server Admin to generate them for you)

What important is how you configure your .ovpn file. You can see below my sample-config. Please note that I'm using two backslashes, instead of one, to mention location of config folder and files.

* sample config of my .ovpn file:

     client
     port 1194
     dev tun
     proto udp
     remote [ your openVPN server]
     resolv-retry infinite
     nobind
     persist-key
     persist-tun
     redirect-gateway def1

     ca "\\Program Files\\OpenVPN\\config\\ca.crt"
     cert "\\Program Files\\OpenVPN\\config\\[yourfile].crt"
     key "\\Program Files\\OpenVPN\\config\\[yourfile].key"
     tls-auth "\\Program Files\\OpenVPN\\config\\tls-auth.key" 1
     cipher AES-256-CBC
     ns-cert-type server
     comp-lzo
     verb  3

Another files you must provide is the key files. Put them (.ovpn and key files) in the same directory, usually under config folder on installation directory.

This config already tested and works perfectly :)