OpenVPN is widely used cross-platform VPN software, originally written by James Yonan in 2001, and now available for Linux, Windows, macOS, Android, iOS, and other platforms.
Here is how to build OpenVPN from source on a Linux server and a Windows client.
Download and run the standard OpenVPN installer from https://openvpn.net/community-downloads. There is no problem if it gives a message at the end of the install to say that there are no connection profiles (configuration files) yet.
In the OpenVPN GUI, change the Settings so that it does not launch on user logon.
Exit the OpenVPN GUI.
Copy the xxxxxxxx.ovpn client configuration file from Downloads into Downloads\openvpn-2.6.6\x64-Output\Release.
Run your binary by opening a Command Prompt with Run as Administrator and issuing the commands:
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cd C:\Users\YOURUSERNAME\Downloads\openvpn-2.6.6\x64-Output\Release