This has been tested on a Windows XP machine, NOT on Vista. If you have a scenario where you can connect to multiple sites via VPN, I would not recommend this as there may be IP address conflicts on the client machine. Here's what you do on the client to make it happen:
IDENTIFY CONFIGURATION FILES AND PROPER LOCATION

References to sitename are for the name of the site you have distributed VPN client keys for. Substitute your appropriate site name here.

• Use Windows Explorer to drill down to C:\Program Files\OpenVPN\config. This directory should contain sitename.conf, sitename.ovpn and subdirectory untangle-vpn.
• The lower-level untangle-vpn directory should contain two .crt files and a .key file

OPEN VPN MODIFICATION

• Go to START -> CONTROL PANEL -> ADMINISTATIVE TOOLS -> SERVICES
• Right click on OPENVPN and select PROPERTIES
• Change STARTUP TYPE to AUTOMATIC
• Click OK
• Close the Services window
• Close the Administrative Tools window
• Close Control Panel

REGISTRY MODIFICATION

• Goto START -> RUN -> REGEDIT
• Drill down to HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Run
• Locate the entry for "openvpn-gui"
• The command reference should say:

C:\Program Files\OpenVPN\bin\openvpn-gui.exe

Change it to:

C:\Program Files\OpenVPN\bin\openvpn-gui.exe --connect sitename.ovpn

...where sitename is customized for your specific site.

• Close RegEdit

When your client machine restarts, the user will automatically be connected via VPN client. They may disconnect and reconnect at will. If they need to use a second VPN connection to another location, it is recommended that they disconnect from the first connection before creating a different connection.