1) Download the file
2) Go to network settings and click the plus by VPN
3) Click "Import from file"
4) Choose the client.ovpn file that you got in the beginning
5) Give the VPN a name and put your username (without @hi.is) and your password and click "Apply"
6) Now you can connect to VPN by moving the switch to the right
7) After that you should be able to go to the network icon and connect to VPN