First, you should launch OpenVPN as an administrator such as below:
In the bottom-right corner of your taskbar, you will see a monitor with a padlock symbol. This is the OpenVPN interface, which you will need to right-click on to proceed.
To connect, you will need to import your configuration file using "Import file" and navigating to the directory of where you have downloaded your OpenVPN configuration file from the TryHackMe "Access" page to.
Your configuration file will now appear in the OpenVPN interface, with a little arrow indicating a sub-menu, as shown below:
Pressing "Connect" will launch a GUI with a bunch of text. After a couple of seconds, a Windows-notification will appear on the bottom-right, stating that your connection was successful.