As on https://openvpn.net/index.php/open-source/documentation/howto.html#pki,
on the server:

# cp -R /usr/share/doc/openvpn /etc/openvpn
# cd /etc/openvpn/examples/easy-rsa/2.0
# . ./vars
# ./clean-all
# ./build-ca
# ./build-key-server server
# ./build-key client
# ./build-dh

Then the client.crt, client.key and ca.crt I copied to the client.

On the client I only had to edit client.conf.

Then, on the server:

# openvpn server.conf

And on the client:

# openvpn client.conf