I think I've answered my own question, and this is how I got things set up.
I used a fresh Kali 2016.1 install in a VM. and then ran apt-get update.
Openvpn should already be installed and the update-resolv-conf should be in the /etc/openvpn folder
Copy your ctf365.conf and user-pass.text in to the /etc/openvpn folder
Edit the ctf365.conf file to include the full path of the user-pass.txt:-
Save file then run the following in a terminal:-
service openvpn start
openvpn --config /etc/openvpn/365ctf.conf
You should now be able to ping in the 10.195.2.2 machine shown the in NFS intro video