On Ubuntu you will need to install the package "network-manager-openvpn"

sudo apt-get install network-manager-openvpn

Copy all of the required .crt, .key , pem and ovpn files to /etc/openvpn

You can Generate the key and configuration file from the Members area 

• Once installed, click network manager icon in tray, edit connections
• Click VPN tab, then import
• Select each ovpn file for the server you want to add
• Make sure it has autodetected all of the Certificate and Key file locations - select manually if required (/etc/openvpn)
• Save your key file password (usually the same as members area password) under "Private Key Password"  You can resync your key file password from the Members area
• Save, disable networking and re-enable to allow the new VPN connection to show up.

If you receive the following error after setting up network-manager-openvpn 

no valid vpn secrets

Please do the following from the terminal and try reconnecting.

sudo /etc/init.d/network-manager restart