NOTE: These instructions are for Ubuntu or Debian Linux.
1. Install the OpenVPN package. (For example, by running the following command in the terminal)
$ sudo apt-get install openvpn
2. Download your OpenVPN configuration file from your account and copy it to /etc/openvpn/client.conf (for example, by running this command in the terminal)
"sudo cp zenvpn.ovpn /etc/openvpn/client.conf")
3. Start OpenVPN
$ sudo /etc/init.d/openvpn restart