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What do you run your XBMC on? A raspberry? I have XBMC on a rpi which sits on top of debian. I'm pretty sure XBMC usually installs on top of an OS..So if you're running Ubuntu with XBMC, you should be checking out how to install OpenVPN on Ubuntu. Maybe there is an XBMC package or plugin, but I think that youll have more flexibility and be able to configure everything properly by installing OpenVPN on the system itself, not with XBMC
Anyway good luck
