Assuming you've already installed OpenVPN and renamed the corresponding network adapter as the user manual instructs, here are a few additional details:

1. The config files downloaded from the router must all be located at C:\Program Files\OpenVPN\config or C:\Users\$USERNAME\OpenVPN\config\client and must all have unique names. If you need only 1 connection and manually place files in 1 of those 2 locations, delete files with the same names in the other location
2. Once the above is satisfied, start OpenVPN GUI
3. Right-click on the tray icon
4. Mouseover Import
5. Click Import from file...
6. Import the client.opvn file downloaded from the router
7. Once the import is complete, right-click on the tray icon again
8. Click Connect

Your OpenVPN connection should now work perfectly.

The above works on Windows 11 and should also work on Windows 10.

Source: https://community.openvpn.net/openvpn/wiki/OpenVPN-GUI-New