Hello Ave. I don't know much about Networking so bear with me till the other experts get online.
1. The best way to see if the program is working or not, in the background, is to look it up in the taskbar. If the icon for the program is present there, it is most probably doing its job. If not, then you might need to reconfigure it. Here are some How To's from the official site that might guide you.
2. The second prompt that comes up is probably about a driver that needs to be installed in order to operate OpenVPN smoothly. It is safe to install it unless your AntiVirus or AntiSpyware identifies it as a rogue.
3. If you downloaded the program for the official site, then it is likely to be clean. Again, safely install the software unless your security programs refrain you from doing so.
Hope that helps. :)
-- Goku