1. Important: You always need to run OpenVPN as Administrator; right click the OpenVPN shortcut, then click run as Administrator (If OpenVPN is already running, then close it and do the described step).

Moreover make sure allowing OpenVPN to always run as admin, right click the shortcut again, go to properties then the compatibility tab and select "Run this program as an Administrator" and apply it!

2. Additional note: In some rare cases it may happen that your IP still doesnt change - EVEN when running OpenVPN properly as described above - in that case and only in that case, check your connection log (right click OpenVPN icon => "View Log") and lookout for a multiple loop of the following entries:

Sat Nov 10 17:51:44 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:44 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:49 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:49 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:50 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:50 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:51 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:51 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:52 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:52 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:53 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:53 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:54 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:54 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:55 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:55 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:56 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:56 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:57 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:57 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:58 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:58 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:51:59 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:51:59 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:00 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:00 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:01 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:01 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:02 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:02 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:03 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:03 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:04 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:04 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:05 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:05 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:06 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:06 2012 Route: Waiting for TUN/TAP interface to come up...
Sat Nov 10 17:52:07 2012 TEST ROUTES: 0/0 succeeded len=1 ret=0 a=0 u/d=down
Sat Nov 10 17:52:07 2012 Route: Waiting for TUN/TAP interface to come up...

This is CPU/OS related only (nothing to do with the VPN) and can for example occur on high CPU load, a clogged up system or random softwares causing it, basically said, many factors can play a role with this. A first attempt to resolve would be to either try a simple computer reboot, or to start off by opening the taskmanager and closing all unneeded programs to lower the CPU load (close OpenVPN as well and try a restart of it) or to simply Disable and then Enable the tap-32 Adapter in the Network Center!

Yet another versatile and 100% solution would be using Viscosity software instead of OpenVPN. Viscosity is an alternative software that solves this problem quickly and efficient. Viscosity offers a free 30 days trial Version (afterwards it costs 9$ for license).

Download: http://www.sparklabs.com/viscosity/download/
Setup vid: https://www.youtube.com/watch?v=cStDlPsgqJ4

Or alternatively (and free of costs!) you can as well use our other protocols, so instead of OpenVPN/Viscosity, simply use L2TP/IPsec (IKEv1) protocol, the setup is explained here