Depends on server configuration, each OpenVPN client needs configuration file (client.conf for *nix and client.ovpn for windows), certificate authority (ca.crt), [optional] tls auth file (ta.key), user crt and key.
In i3 window manager by default Nautilus actually opens two windows: Desktop window and Nautilus itself. The former can’t be closed by the default shortcut
This howto is based on a great guide with modifications. All settings are made for server domain hg.kenarius.org. You can replace it with your one easily.
After moving to i3 I’ve installed PCManFM as GUI file manager. To fix missing icons one have to define icon theme. These instructions are tested on Ubuntu 12.04, but it must work with other distros.