You must enable tun/tap and or PPP directly from inside VPS Manager under "settings" tab. then  follow this tutorial to install OpenVPN for OpenVZÂ
http://www.throx.net/2008/04/13/openvpn-and-centos-5-installation-and-configuration-guide/
Note that you may need to look at the comment box if there's an issue about your configuration, we do not do troubleshooting help with OpenVPN for unmanaged VPS services.
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