receiving following messages starting OpenVPN in Xen:
host:/etc/openvpn# openvpn server.conf
Tue May 22 16:08:03 2007 OpenVPN 2.0.9 x86_64-pc-linux-gnu SSL LZO EPOLL built on Jan 21 2007
Tue May 22 16:08:03 2007 Diffie-Hellman initialized with 1024 bit key
Tue May 22 16:08:03 2007 TLS-Auth MTU parms L:1542 D:138 EF:38 EB:0 ET:0 EL:0
Tue May 22 16:08:03 2007 Note: Cannot open TUN/TAP dev /dev/net/tun: No such file or directory (errno=2)
Tue May 22 16:08:03 2007 Note: Attempting fallback to kernel 2.2 TUN/TAP interface
Tue May 22 16:08:03 2007 Cannot allocate TUN/TAP dev dynamically
Tue May 22 16:08:03 2007 Exiting
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ANSWER:
Meaning tun/tap device is not enabled on OpenVZ VPS by default,  client can enable tun/tap and PPP directly from inside VPS Manager under "settings" tab.  Xen VPS should already have this enabled by default oterwise run command : #modprobe tun
