I'm running OpenVPN to connect to the https://mullvad.net/ service on my FreeNAS box, to anonymize all the traffic coming from that box. It works well. However, I want to set up my firewall so that if and when OpenVPN quits or restarts that it doesn't leave my IP address open for all to see.
From what I've been told, this essentially means configuring my firewall to block all traffic except the traffic going through OpenVPN, which is port 1194. However, this doesn't seem to work at all. I enable the firewall, start up OpenVPN, and I still don't have access to the internet. My system log says this:
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Mar 28 17:23:01 heimdall openvpn[6745]: OpenVPN 2.1.4 i386-portbld-freebsd7.4 [SSL] [LZO2] built on Jan 31 2011
Mar 28 17:23:01 heimdall openvpn[6745]: NOTE: OpenVPN 2.1 requires '--script-security 2' or higher to call user-defined scripts or executables
Mar 28 17:23:01 heimdall openvpn[6745]: LZO compression initialized
Mar 28 17:23:01 heimdall openvpn[6745]: Control Channel MTU parms [ L:1542 D:138 EF:38 EB:0 ET:0 EL:0 ]
Mar 28 17:23:01 heimdall openvpn[6745]: Socket Buffers: R=[42080->65536] S=[9216->65536]
Mar 28 17:23:01 heimdall openvpn[6745]: RESOLVE: Cannot resolve host address: openvpn.mullvad.net: [TRY_AGAIN] A temporary error occurred on an authoritative name server.
Mar 28 17:23:01 heimdall openvpn[6745]: Data Channel MTU parms [ L:1542 D:1450 EF:42 EB:135 ET:0 EL:0 AF:3/1 ]
Mar 28 17:23:01 heimdall openvpn[6745]: Local Options hash (VER=V4): '41690919'
Mar 28 17:23:01 heimdall openvpn[6745]: Expected Remote Options hash (VER=V4): '530fdded'
Mar 28 17:23:01 heimdall openvpn[6746]: RESOLVE: Cannot resolve host address: openvpn.mullvad.net: [TRY_AGAIN] A temporary error occurred on an authoritative name server.

(Ignore the lines about allowing "Jotunn", that's just so my desktop can access the FreeNAS web interface to do all of this).
This may or may not be enough information to go off of, so if I need to include something else, let me know what else I should dig for.