The guide you referred to may be a little old and today you should use ubuntu server 12.04 and not 10.04 but it should work the same.
You can download Ubuntu Server from Ubuntu site. Choose 64 or 32 bits version depending on your machine, Burn the ISO on a CD, boot the machine with it and follow the instructions. Here you can find a nice tutorial on how to install Ubuntu Server. It will guide you to install a full server but you can stop at the end of the base install and configuration (end of page 3).
Anyways, as other answers are saying, you don't need to use Ubuntu server, Ubuntu desktop will work the same for the installation of OpenVPN. They are the same with small kernel optimization differences and a different stack of default software. The main difference is that Server has no graphic environnement.
The result for your day to day use is that Ubuntu Server will have a LOT less updates to do and will use a LOT less memory while running. I consider it won't need a monitor or a mouse too, at least most of the time and is easier to manage using SSH connections from a GUI machine (at least because you can use many terminal on the same screen and look at other files or Internet at the same time... and you can't do that while in front of the Ubuntu Server machine...).
PS: That's another topic but the guide shows how to install OpenVPN client on Ubuntu machines and not Windows. There is a GUI client on OpenVPN site that works very well and is very simple to install on Windows.