OpenVPN is already installed on OpenELEC but does not work correctly. Try these steps from one of our supporters...

  1. cd to root/storage/.config/vpn-config 
  2. Download blackvpn_linux.zip Unzip it to the vpn-config folder.
  3. Use WinSCP to copy the VPN location you want to use (e.g "Privacy-Switzerland.conf") to the vpn-config folder on your Raspberry Pi. 
  4. To start openvpn on your Pi: openvpn /storage/.config/vpn-config/Privacy-Switzerland.ovpn