Run the installer and install everything (though maybe not the sourcecode). It will ask you if you want to accept a direver driver. You should accept this.
Next create a new folder - e.g. "vpn" on your desktop and down load these files into a new folder. You should use the right mouse button and select "Save Target As..." and save both files in the new folder you created. NOTE: when saving "cacert.pem", make sure to change the "Save as Type" from "Text Document" to "All Files". If you don't do this it will be saved as "cacert.pem.txt" and it won't work.
Now you are ready to go. Use the right mouse button on the configuration file you downloaded (called "wireless") and select the second option: "Start OpenVPN on this config file". A text window will appear and you should be prompted for a username and password. After you enter these the connection should be established.
You can minimize the OpenVPN window, but do not close it until you want the OpenVPN session to terminate.
To test if you have the VPN working you could try visiting this page. However it will only report correct information if you do not use a proxy to visit it. If you have your browser configured to avoid the proxy for local addresses, then this page might work better.