Download the install package from openvpn.netand install it. You must keep the option checked to update the path.(no such option exists)
When you run Kodi, you must run it as administrator (otherwise updating the routing table will fail during VPN connection).
If you have other software installed also controlling the VPN (including packages provided by your VPN provider), this may cause a conflict. You should decide if you want to manage the VPN outside of the Kodi environment or not.