Changing network type from Unidentified network to Private network on an OpenVPN connection
Solution 1:
Look at "TAP driver / identified vs unidentified networks" or "Vista and Windows Server 2008 - Unidentified network"
Solution 2:
You have to add default gateway for OpenVPN network interface.
The way I found is adding route to target address 0.0.0.0 via network interface used OpenVPN.
In this example I have a computer with the physical interface with IP addres 10.20.20.20 in network 10.20.20.0/24 and the OpenVPN TAP interface with IP address 10.1.1.10/24 in network 10.1.1.0/24 (IP address of server on VPN network is 10.1.1.1).
1) Find out your network interfaces and information about current route to 0.0.0.0:
C:\>route print -4
===========================================================================
Interface List
15...00 ff 6c 3f 5b 0c ......TAP-Win32 Adapter V9
11...00 0e 0c d9 b5 c8 ......Intel(R) PRO/1000 GT Desktop Adapter
===========================================================================
IPv4 Route table
===========================================================================
Active Routes:
Network Destination Netmask Gateway Interface Metric
0.0.0.0 0.0.0.0 10.20.20.1 10.20.20.20 10
10.20.20.0 255.255.255.0 On-link 10.20.20.20 266
...
At now we know that your OpenVPN network interface number is 15. Another important information is the metric of current route to 0.0.0.0. New route to 0.0.0.0 for OpenVPN network should have higher metric value than current to avoid redirecting whole network traffic to your OpenVPN connection instead of physical network (in case of two routes with the same routes, the route with lower metric will be chosen).
2) Add route to 0.0.0.0 via OpenVPN interface:
route -p add 0.0.0.0 mask 0.0.0.0 10.1.1.1 metric 50 if 15
This command adds route to 0.0.0.0 via interface 15 with metric at least 50 and gateway 10.1.1.1. Replace the gateway with your own (IP address of server on VPN network). And of course, replace the interface number with your own.
The -p argument adds route as permanent so it will be preserved after system reboot.
3) (Re)connect to VPN server and look into route table again:
C:\>route print -4
...
Active Routes:
Network Destination Netmask Gateway Interface Metric
0.0.0.0 0.0.0.0 10.20.20.1 10.20.20.20 10
0.0.0.0 0.0.0.0 10.1.1.1 10.1.1.10 80
...
And network is now identified in Network and Sharing Center so the 'Set a location...' window should appear ;-)