You only need to do this if your distro is source based

Tuan's Notes on Installing Openvpn on linux source distros

For most user-level distros:

rpm based distros (fedora, RHEL, CentOS etc.)
debian-based distros

you can probably just install direct from a repo.

1. Install LZO - Download the LZO lib from website - Unzip the zipped file of LZO - Shell command:

 + ./configure --prefix=/usr --enable-shared
 + make
 + make install
 + install -v -m755 -d /usr/share/doc/lzo-2.02
 + install -v -m644 doc/* /usr/share/doc/lzo-2.02

2. Install OpenSSL - Download OpenSSL from website - Unzip the zipped file of OpenSSL - Shell command:

 + ./config --prefix=/usr/local --openssldir=/usr/local/openssl
 + make
 + make test
 + make install

3. Install OpenVPN - Download OpenVPN from http://openvpn.net/ - Unzip the zipped file of OpenVPN - Shell command:

 + ./configure
 + make
 + make install
 + sudo apt-get install openvpn

4. Starting OpenVPN - Copy the key files and certificate files to machine (for example: /home/tuan/OpenVPN) - Shell command:

 + openvpn <config_file> (for example: openvpn client.conf)