Trying to set up OpenVPN server on a vps
You are using an OpenVZ-based VPS provider. The provider must enable TUN/TAP in your container before you will be able to use OpenVPN (or anything else that relies on TUN/TAP).
You have not /dev/net/tun node in your /dev directory.
Try to create it:
cd /dev
mkdir net
cd net
mknod tun c 10 200
chmod 666 tun
Or you can try, according to this article, use this command: openvpn --mktun
If will openvpn still complain about non-existent tun interface, try use modprobe tun command. But on mine Ubuntu have kernel support for tun interface compiled in.