When I do
sudo apt-get install openvpn
... it does not install the file rather it downloads a file and stores some where . Now how can I find where the file has reside.
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Once you have installed the openvpn package, you need to configure it accordingly. (for other readers, the files inside an installed package can be listed with
dpkg -L openvpn.)
I can recommend you to use Network Manager which has an OpenVPN plugin. There you can put the certificates, host, etc. of your VPN provider. If you have none and want to setup the server and client, have a look at How do I setup OpenVPN so I can securely use the internet from an unsecured hotspot? (for example).