Are you using win Vista/7 ? Try right click on OpenVpn gui , run as administrator.
cheers
P.S.
about
Wed Nov 21 09:32:56 2012 WARNING: No server certificate verification method has been enabled. See http://openvpn.net/howto.html#mitm for more info.
try to add this line in your client config
remote-cert-eku 'TLS Web Server Authentication'