OpenVPN Windows releases include a Windows GUI, which is not part of the core project. OpenVPN versions 2.2.x and earlier include the old Windows GUI, whereas 2.3 and later include the new Windows GUI. These instruction cover building the new GUI, although instruction for the old one are probably very similar.
Building the OpenVPN installer bundle
Currently the easiest way to build OpenVPN-GUI is to build the entire OpenVPN Windows installer bundle and extract the produced OpenVPN-GUI binary. Thorough instructions are available here.
NOTE: These instructions are probably outdated. Please fix them or use the process described above.
If you're building the OpenVPN-GUI on Windows, you need to install MinGW first, as both OpenSSL and OpenVPN-GUI are built with it.
Build and install OpenSSL using the MinGW instruction given here.
Launch a MinGW command prompt and descend to the OpenVPN-GUI source directory. From there, issue the following commands:
$ autoreconf -v $ ./configure --with-crypto-includes=/c/openssl/include --with-crypto-lib=/c/openssl/lib $ make
This assumes you installed the OpenSSL files to that location. This will create a openvpn-gui.exe file into the build directory. You can simply launch this executable and it should work, provided that OpenVPN is installed.