Hello,
The purpose of recompiling your kernel probably has to do with including the tun/tap module. (see
http://www.kernel.org/pub/linux/kernel/people/marcelo/linux-2.4/Documentation/networking/tuntap.txt). If you are running some variety of udev or devfs, you'll see the node /dev/net/tun (10,200), otherwise, you'll need to create the device node yourself. As far as a command-line interface with the tun module, you'll only have such a beast if you have a relatively new version of iproute2. Apparently there was a patch that provides a command subtree called "tuntap", so if you get something besides 'Object "tuntap" is unknown, try "ip tuntap help"'. From there you would be able to use the ip utility to create unattached tun and tap devices. This version of iproute2 hasn't been included in any distros that I've encountered (so far), so don't be surprised if you receive the aforementioned error.
OpenVPN exists entirely in user land, so until you have done the c;m;m-i dance, you won't find anything openvpn specific on your device.
-Stephen