OpenVPN (and OpenVPN GUI) on Windows Vista fails silently if executed without Administrator privileges. The error is almost not noticeable since VPN succeeds in obtaining an IP address (see the green OpenVPN icon in the screenshot). But, the VPN is not established due to the error:
ERROR: Windows route add command failed: system() returned error code 1 The requested operation requires elevation.
Run OpenVPN as Administrator or if this is a frequent used application change its shortcut to always run as Administrator.