shinjikenny wroteclient--->VPN server--->proxy--->website
Easy way is just:
(1) client connects to VPN (2) client adds proxy settings to their web browser (3) client browse the web.
Difficult way (maybe):
(1) VPN server forwards all packets directly to the proxy server, using IPTABLES.
None of this will be about OpenVPN though. Its not the task of OpenVPN to do this.