I installed Open VPN and generated .crt and .key files but I could not able to generate ta.key file which gives me options error : --tls-auth fails with ta.key : No such file or directory. How could I create this file. I couldn't find ta.key in any directory of Open VPN.
If you do not have a ta.key, of course tls-auth will fail. You may:
drop the tls-auth instruction altogether. This is not a major dent in your security: the Manual in fact states:
This feature by itself does not improve the TLS auth in any way, although it offers a 2nd line of defense if a future flaw is discovered in a particular TLS cipher-suite or implementation (such as CVE-2014-0160, Heartbleed, where the tls-auth key provided protection against attackers who did not have a copy). However, it offers no protection at all in the event of a complete cryptographic break that can allow decryption of a cipher-suite's traffic.