These directories contain scripts to help build and package OpenVPN and its dependencies for various hardware platforms and operating systems. You do not need any of these scripts if you're building a native version of OpenVPN on a UNIX-like or Windows operating system.
Thorough documentation is available in the OpenVPN wiki:
The "windows-msi" subdir contains scripts to build and package OpenVPN on Windows for Windows.
The "release" subdir contains scripts to prepare the source tarballs and tag the git repositories. It also has scripts to orchestrate the other parts of the build.
The "debian-sbuild" subdir contains scripts to build Debian packages for all supported distributions.
Previously there were "windows-nsis" and "generic" subdirectories available that implemented an alternative build system for Windows installers based on mingw cross-compilation. Those build scripts were removed since they were not maintained anymore. You can find the last version before removal in branch release/2.6.
Please refer to the README files in the subdirectories for further information.