You can use OpenVPN directly.

This way you can use more settings as well.

First you need the openvpn package:

sudo apt-get install openvpn

Then you can connect like this:

sudo openvpn --config /path/to/config.ovpn (select the path were the config file was downloaded)

The sudo is important because OpenVPN won't be able to connect otherwise**If you need to disconnect from OpenVPN the following command can help you: sudo killall openvpn