dazo
What kind of challenges do you meet? OpenVPN depends 100% on OpenSSL. OpenVPN itself should not need any other stuff. So I believe if you must rebuild OpenVPN, you need the FIPS enabled OpenSSL libarary and development header files, and the rest should go rather by itself.
Please provide more information about your runtime and building environment and also what kind of errors you get. Or else it's gonna be easier to hunt flies in a dark room 🙂