First, disable any local firewall (i.e. comodo) and/or other security suite.
1) I would check the local event log to look for any errors that coincide with the disconnect.
2) Once the VPN is conencted, you should be able to ping a remote desktop or telnet to the open port. Does this disconnect you also? If you sit idle, does the connection stay open?
3) Not being familiar with openVPN, I imagine it must keep logs. Have you looked here for a cause of the disconnect?