Install OpenVPN by opening a terminal and typing, 'sudo apt-get install openvpn'.If your version of Linux is not based on Debian, please be mindful to use the correct commands for those functions in your distribution and replace where necessary. These directions are based on a Debian distribution, so the command to elevate privileges as well as to install packages will reflect that.
This article with walk you through installing the openVPN package on Linux and setting up and connecting an OpenVPN connection using the command line.