It may be a dumb question, but have you edited the vpn shell script?

As downloaded, it looks like this:

#!/bin/sh
sudo gainroot
cd /etc/openvpn
openvpn --config n800remote.ovpn

which will work using the config file created in the howto.

Since you are using a different setup, it looks to me like at the very least you would need to edit it. Try this:

#!/bin/sh
sudo gainroot
cd /usr/sbin/
openvpn --config /etc/openvpn/openvpn.conf

Then, from /home/user, (which is where vpn should be stored) try running ./vpn
That shoud make you root, move you to the folder in which openvpn is located, and finally run openvpn, with the config file openvpn.conf located in /etc/openvpn/

Does that work?