If you want to run OpenVPN within a Virtuozzo or OpenVZ container using the tun or tap device you probably need to make a few config changes on the hardware node and the container. First of all you need to be sure that the tun module is loaded on the hardware node itself. The easiest way to check that is using lsmod:

You can install OpenVPN on CentOS using from a rpm binary package available from the EPEL repository. If you haven't setup the EPEL repository follow the instructions explained on their website. You can setup OpenVPN as bridged VPN or as routed VPN. This example demonstrates a routed VPN setup. OpenVPN should be installed on both the server and the clients. The OpenVPN installation depends in openssl, lzo and pam.