How To compile/create OpenVPN with installer for Windows on Linux (Debian Jessie)

# apt-get install build-essential mingw-w64 tofrodos dh-autoreconf nsis
# cd /usr/bin
# ln -s fromdos dos2unix
# ln -s todos unix2dos

To customize the build options, refer to build.vars in openvpn-build/generic, it contains the defaults for building, most settings can be customized by setting environment variable before executing the build script.

The following will produce the OpenVPN Setup for 32 and 64 bit Windows.
$ git clone https://github.com/OpenVPN/openvpn-build.git
$ cd openvpn-build/windows-nsis

$ ./build-snapshot