Disclaimer: I haven't tried to install OpenVPN (yet. I'm holding back a bit in the hope of it appearing in a repository, to simplify the installation).
But: To install a .deb that won't install from the app. manager I would
1) Install osso-xterm and becomeroot (search maemo or maemo wiki)
2) Use 'sudo gainroot' in xterm to get to a root shell
3) Install the package as follows (which is in the root directory of the external card in this example):
dpkg -i /media/mmc1/package-name.deb
4) If this complains about missing packages: Go hunting, install them either the same way (manually with dpkg), or through the application manager if at all possible.
5) If this still fails: Post here.
6) The above are generic instructions, your mileage may vary for OpenVPN.

It would be great if someone who's actually installled OpenVPN would correct/fill in the above if there's something missing.