This was originally posted by VPSNOC. If you are using Debian/Ubuntu VPS use this GUIDE.

We have made a small and dirty bash script which installs and configures OpenVPN on CentOS 5 32bit. The VPN server’s primary (and only) use is for safe browsing i.e. tunneling all your traffic through your VPS. The script also generates your client configuration file along with the necessary keys for authentication.

Requirements :
1. CentOS 5 32bit minimal OS template
2. TUN/TAP device enabled on your VPS
3. ipTables NAT support

Login to your VPS as root and execute the following commands :

wget http://vpsnoc.com/scripts/install-openvpn.sh
chmod +x install-openvpn.sh
./install-openvpn.sh

You will be prompted to enter values for your server and client certificate, feel free to accept (hit enter) the default values. Its not recommended to setup a password for your server certificate as you will have to type in the password each time you wish to start/restart the openvpn daemon.
You can however set a password for your client’s certificate since it offers extra level of protection in case your certificate and key files are compromised. You will be prompted for that password each time you connect on your VPS’s VPN.

After the script finished installing openvpn (should be very quick) the client keys and the openvpn client configuration file will be archived in /root/keys.tgz
You may use a sftp/scp client such as winscp or filezilla to download the archive on your computer.

If you already haven’t installed OpenVPN for windows you may do so now.
You may use winrar or 7zip to extract the content of keys.tgz in C:\Program Files\OpenVPN\config\VPN (create a folder named VPN there).

...and you are done.

There are four primary steps in this process:

• Get the right hardware.
• Set up the router.
• Connect the router to the Internet (if you want Internet access).
• Connect computers to the network.

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Each of these steps is described in detail HERE.