Comments
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Did you try clicking "yes" to go ahead and try connecting with the most recent configuration?
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KevinD hit upon the right approach. Windows Server Core is still Windows, and so the installer is allowed to create all the windows it needs to install the program. Server Core's most noticeable difference is that it doesn't run explorer.exe when you log in.
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Bruce, just so you know, the comment you linked to is gone. I think CorLK is claiming that option 2 is not available, because even the OpenVPN client isn't downloading the profile after connecting to their Watchguard device.