My original error from yesterday was:
Options error: --proto tcp is ambiguous in this context. Please specify --proto tcp-server or --proto tcp-client
I've installed the latest version, now I get the following error:
ERROR: Cannot ioctl TUNSETIFF tun: Operation not permitted (errno=1)
Turned VPN off, installed sudo, tried the VPN from terminal, with
# sudo openpn --config my_vpn.ovpn
ERROR: Cannot open TUN/TAP dev /dev/net/tun: No such file or directory (errno=2)
It's totally possible, that I messed up, since I don't speak linux.
Edit: Yep, my fault, not set to Privileged. Thanks a lot @binhex, top quality support.