Hello Madhumati,
That is a really broad question. You can either follow the many available guides for open source OpenVPN, for setting up a server and a client, or you can take a bit of a shortcut and run the server with OpenVPN Access Server and download a connection profile from that and trying to use that to connect to your server.
To learn how to deploy and use Access Server:
https://openvpn.net/vpn-server-resources/
And how to connect a Linux-based system using OpenVPN command-line to an Access Server:
https://openvpn.net/vpn-server-resources/connecting-to-access-server-with-linux/
In your case you would likely not be using the OpenVPN3 Linux client, but just the OpenVPN(2) open source CLI program to make the connection.
Kind regards,
Johan