UPDATE 01-SEP-17
Due to multiple, critical problems in network-manager-openvpn which after years have not been solved we recommend to NOT use it. Please understand that we will not provide support to network-manager-openvpn. In GNU/Linux we recommend that you run our free and open source software "AirVPN Suite", "Eddie" or OpenVPN directly
Warning: Ubuntu 14.04 has an issue on configuration files import. At 25/04/2014 there's still no fix. Bug Report
Go to Config Generator page, choose Linux and choose your preferred options.
Select Advanced Mode
Tick Separate certs/keys from .ovpn files
Click on any archive format. Save the downloaded archive file somewhere, say in ~/.airvpn. Extract it. Five files should be extracted. Try to make sure nobody but you can read the file user.key, because that one is secret.
Install the package named network-manager-openvpn-gnome, which is a plugin to NetworkManager handling OpenVPN connections. The install will automatically include all needed packages, like openvpn etc.
Click on NetworkManager icon in top-right bar, and choose Edit Connections...
Click Add, choose Import a saved VPN configuration, click Create... and choose a .ovpn file extracted from files generated by our Config Generator.
The imported information is displayed. Click Save... and close the NetworkManager Connections editor.
From now on, the imported connections are showed under VPN Connections menu. Click it to connect.