Next you can choose the components to be installed. If you already have the latest OpenVPN version installed you can deselect the OpenVPN check box. If you are unsure if you have any of the components already installed, just click on Install; existing components will then be updated to the current versions.
The VPN logo on top of the window should change its color from red to yellow. The VPN Manager calls the Perfect Privacy Check IP tool in the background to verify that the tunnel is running correctly. If that is the case the symbol will change to green and the server name and IP will be displayed.
You can find the full documentation of all features in the VPN Manager here.