Start with your server:
johng wrote I have set up open media vault on a pi3 and I installed the OpenVPN plugin
You will probably need to install openvpn from here:
https://openvpn.net/index.php/open-source/downloads.html
You should then read the HOWTO:
https://openvpn.net/index.php/open-source/documentation/howto.html
And if you get problems please read this:
HOWTO: Request Help !