Hi guys,
I have OpenVPN key with the following format .opvn. I have no idea where to copy it. If it is window this(C:\Program Files\OpenVPN\config\ ) will be the location. But when it comes to Linux I am empty.

Hi David. Welcome to LQ.

Most tasks are easiest to complete from a command line. If you are in a graphical environment, where you can open a web browser, etc., then open a terminal, like xterm, which you'll be able to find on the menu of applications. Open up a terminal application, and you are at the command line interface. If you are not in a graphical environment, then you are already at a command line interface.

Linux has manuals for most of the commands and applications on your system. Two good commands are "man" and "which". Typing "man" followed by a package name or command brings up the manual for that command. So, in your case, you'll want to type "man openvpn" and then hit enter. If openvpn is installed on your system, then it's manual page of instructions will come up. "which" tells you the path to where the executable binary command for a package is installed, and it's a quick way to see if something is installed as well. "which openvpn" returns "/usr/sbin/openvpn" on my slackware system.

If "which openvpn" says not found, then you will need to install openvpn, according to how the specific distribution of linux you are on installs packages.

Are you trying to use openvpn directly from the command line, or with a network management application such as networkmanager?

I have installed VPN on my machine. I have been provided a key to access the server. The key name is something like this vpn.david.avalia.no.ovpn. I dont know where to add this key and get access to the server.

Since different distributions of linux have their own ways of management, including which distro you are using will help; it's so relevant, that you can set it in the details of your LQ account profile. On my slackware system, the config file is in /etc/openvpn/ Other distros might install it somewhere else. You probably need to edit the config file and tell it the location of your key; you'll need to make sure that openvpn starts at boot.

Totally depends on which distribution and desktop environment you are using. (Or maybe you are running a server with no desktop environment?)

I personally use Fedora 29 with Gnome desktop. I can load a .opvn file with a few mouse clicks, from the Network Manager dropdown at the top right of the screen. It's really easy.

Which distro and desktop environment do you use?

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I use ubuntu 16.04

It really doesn't matter where you put it, as long as you specify the path:

(if you start it from the shell)

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It's been a while since I used Ubuntu, and I can't remember what the interface looks like.

But the command from @urbanwks should totally work for you. (You may need to add 'sudo' to the beginning of the command.)

If you use Ubuntu the easiest way to use it is just create a VPN configuration in NetworkManager so it's literally a click to start or stop it. One of the NetworkManager options is literally "import VPN configuration from file".