OpenVPN server only works with a OpenVPN client software. You can find on teh openvpn website if it has a Mac client software.
the process is to install the server softare on teh MBL, and install the client software on your computer. then copy the keys from that are gernerated by the server software to your computer client config file.
the easiest way to do the install is to use the one click install offered by FeaturesPackManager
If the MBL updates its firmware, you will lose the openvpn server. it will need to be reinstalled. I recommend that you turn off automatic updates for teh MBL in teh dashboard.