It seems that you are mixing routing and bridging.
Did you create the bridge in windows ? You'll have to do that manually outside of openvpn.
Do you really want to bridge ? (it's not advisable if you're connecting via the internet, a lot of unnecessary traffic will go over the wire...)
If you decide to use routing (that's what I would do) remember that you'll have to activate routing (IP-forwarding) in windows either via MMC-SnapIn "Routing and RAS" or via setting the registry key manually.
BTW, if you don't specify "pull" in the client config no setting will be pushed from the server, so have a look at that too.
MCSA:Security (W2k, W2k3)
MCSE:Security (W2k, W2k3)