Connecting to AnoNET is pretty simple, but there are few tricks in configuration that are required to make in running under OpenBSD. Basic setup is just as described at AnoNET Quickstart site. For OpenVPN configuration file one counterintuitive change is required, specifically adding dev-type tap option that will enable link0 logic of the tun device. Another option to add is topology subnet. So the whole file will look like this:
dev tun0 dev-type tap topology subnet ca ca.crt cert anonclient.crt key anonclient.key client proto udp remote clientport.anonet.org 1194 resolv-retry infinite nobind persist-key persist-tun keepalive 10 60 comp-lzo ns-cert-type server