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OpenVPN client is installed on windows xp machine and is connecting properly after providing the login details. However connections are still going directly out when I checked using whatismyip.com.

The linux client is working properly and I am getting the VPN IP address when I check from the linux machine

Any suggestions on troubleshooting windows openvpn client ?

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Are you running it as an administrator? If not, then it will not be able to manipulate your routes. –  Zoredache Mar 24 '11 at 7:24
From #openvpn on freenode: "winroute" is (#1) in windows if the route cannot be added, try route-method exe in your config file, or (#2) many users also report it helps to add route-delay to give the interface extra time to get up, or (#3) you may need to turn off routing and remote acess in administrative tools - routing and remote access, or (#4) make sure you are running openvpn as admin, or (#5) openvpn.net/index.php –  3molo Mar 24 '11 at 7:47
I am running as user in Administrators group –  nitins Mar 24 '11 at 8:42
If you're using Vista or 7, you also need to run the client elevated (As in right-click -> Run as Administrator), or UAC (if it's enabled) will also prevent the routes being established, even if you are a member of the right group. If you still have trouble with it, set verb 3 in the configuration file and paste the connection log in. –  SmallClanger Mar 24 '11 at 10:33
try 'route-method exe route-delay 2' instructions in your config file. –  Sergey Mar 24 '11 at 10:33

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