I think the OP means he uses a VPN service such as NordVPN, PureVPN, etc that uses OpenVPN as it's connection software.
In this case it depends on the program but for PureVPN for instance you can find the OpenVPN binaries here:
C:\Program Files (x86)\PureVPN\ovpn
However if you manually update the binaries the program may lose its ability to work with OpenVPN, so I recommend backing up the files before you replace them to do your manual update. If your having trouble locating where it's placed OpenVPN try doing a search for openvpn.exe or openssl.exe and that may lead you to the right path.