Having used IPcop for a few years now (and Smoothwall before that) I was excited to see a very nice looking OpenVPN add-on for IPcop. I really hope it gets supported or better, incorporated into the IPcop project. I'm certainly supporting it.
The best HOWTO I've found is here
Other good add-on pages I found whilst mooching around for those that are interested...
Disable the firewall completely
netsh.exe firewall set opmode mode=disable profile=all