Interesting that your question was migrated from serverfault, as they have a few good answers regarding locking down machines. Without being too specific, the OpenVPN is a pretty solid application, it will put your traffic on a private network, and in the process encrypt the traffic going to and coming from that private network. Now, if you're worried about the machines that are also connected to the VPN, that's a different matter.
First, the only thing the machines have in common with yours is that they are all on the same logical network, which means they can all access the same resources and in some cases, other machines on the same network. These machines cannot access the resources on your machine unless they have the permissions (user name and password) to do so.
Next, if you want to secure your computer in general, then make use of the windows firewall. It's basic but it will get the job done. Take a 1/2 hour, comb through it and ask yourself 'do I really need this port open?' If the answer is yes (as is the case for OpenVPN), then make sure it's only open where you need it. For example, I have OpenVPN ports open on Domain, Home, Work, & Public networks because I may always need to OpenVPN into that network, but your results may vary.
Also, your needs may change from time to time so it's a good idea to take a look every now and then and make sure if you are no longer using a software or service that the firewall is updated accordingly.
Lastly, to be quite specific, make sure you turn off file sharing if you're not using it, and also remote control and/or remote desktop access to your computer if you don't need that as well.