Launch OpenVPN with config provided to you, keep the window open
Open Control Panel from Start Menu
Select Network and Internet
Select Network and Sharing Center
Select OpenVPN connection, it's probably one that has "No Internet Access"
Click Properties
Choose "Internet Protocol Version 4" and click "Properties"
Click Advanced
Untick "Automatic metric" and write "1" in field below it
Press OK and close all windows (except VPN console one).
That's it, you should be able to see VPN games now!