There is no option in OpenVPN for Windows to start it automatically when Windows starts, but it can be done.

First you need to start OpenVPN with the configuration of your choice.

The following string is needed:

"C:\Program Files\OpenVPN\bin\openvpn-gui.exe" --connect xxxxx.ovpn

The xxxxx is replaced with the name of the OpenVPN configuration file you want to use.

(Your list of available .ovpn files can be found in the 'OpenVPN/config' folder on your computer.)

Now you need to add this to your WIndows registry settings. 

Open regedit on your computer and go to:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run

Add a new string entry. Give it a name like "openvpn" then add the above string.

Also, go to Control Panel / Administrative Tools / Services, select the OpenVPN service, right-click on properties, and set the Startup Type to Automatic.

For Windows Vista and Windows 7 and 8.
OpenVPN-GUI must be run as administrator.
The most direct way to avoid these conflicts is to disable the UAC.
You can also set the program to always run as administrator in the properties of the application. Right-click on ' openvpn-gui', select 'Properties' then 'Compatibility'. Check the 'Run as Administrator' box.