When I installed openvpn applet, it wouldn't let me choose anything outside /etc/openvpn.
So I had to sudo gainroot (install rootsh from extras-testing) and cp these manually into /etc/openvpn

To copy files manually: (install rootsh from extras-testing)
Open an X terminal
sudo gainroot
cd /etc/openvpn
cp /media/mmc1/openvpn/* . <-- or whereever your configs are locally


To get log info, (install rootsh from extras-testing)
Open an X terminal
sudo gainroot
cd /etc/openvpn
openvpn --config client.conf

this will output the log to the screen, also you could set "verb 9"
This will give you way to much info for normal running but could be helpful for debugging


P.S. Another thought, is your desktop a windows machine?
It is possible that using a windows ascii formatted file causes issues (Windows uses CR and LF to terminate a line, unix/linux just uses CR - I've seen other programs barf because of this)

P.P.S. I call my config file client.conf not client.ovpn

Can't do any testing at the moment as the place I'm at in Dubai only allows proxy access, and it seems quite locked down for tunnelling :-(