How to install and configure OpenVPN client on OpenBSD

Originally published at: https://www.cyberciti.biz/faq/install-configure-openvpn-client-on-openbsd-desktop/

I have a file named openvpn.client.ovpn. How do I use this file to connect my OpenBSD based desktop to remote OpenVPN server and setup secure VPN? How do I configure OpenVPN client on OpenBSD Unix system?