This is most likely due to your user permissions. It is common in Windows 7 and Windows 8.
To fix your permissions for the config file please follow these instructions:
1. Go to the OpenVPN location, usually: c drive / program files / openvpn and open the config folder.
2. Right click on the configuration file.
3. Left Click properties and then Click the tab named Security
4. Left Click edit
5. Select the account you are signed in on the computer with and put a check in the "allow all" box.
6. Left Click apply and your finished.
You should now be able to save the files to your openvpn config folder.