How to connect to protonvpn via openvpn

Protonvpn has some instructions to connect via openvpn:

https://protonvpn.com/support/linux-openvpn/

Where I'm stuck is step 3, where the guide has you download a dns update script into /etc/openvpn.

Openvpn doesn't reside in /etc so I'm not sure how to handle that. Any advice? Thanks.