We will enable TUN/TAP first and reboot VPS.
Then we will run following commands.
$ yum update -y
$ yum install gcc make rpm-build autoconf.noarch zlib-devel pam-devel openssl-devel iptables -y
After Installing we will download openvpn server for CentOS 6 x86_64
Latest version can be found here for other OS http://swupdate.openvpn.org/as/
$ wget http://swupdate.openvpn.org/as/openvpn-as-2.0.17-CentOS6.x86_64.rpm
After Downloading, we will execute it
$ rpm -i openvpn-as-2.0.17-CentOS6.x86_64.rpm
You should get a link with "https://IPHERE" now go to it and you should see the OpenVPN access server page.
Login with root or create user and login.
Install OpenVPN client and use OpenVPN. Enjoy