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OpenVPN is available in repositories of most open source operating systems such as Debian, Ubuntu, Fedora, FreeBSD and Maemo. Some of them may have several versions available, e.g. one for latest beta branch, one for latest development code and one for stable releases. Using these OS-provider versions is usually easiest. However the OpenVPN project also packages latest OpenVPN releases for some open source operating systems. Take a look here to see if these packages are available for your OS.
brew install openvpn