OpenVPN Installer will try to install openvpn (2.1.1) in /system/xbin or /system/bin. Your mileage might vary depending on your phone.
Androids ifconfig implementation fails to configure the tunnel device correctly. So you need ifconfig provided by busybox. Try a BusyBox Installer from the market.
The path to ifconfig is a compile time option to openvpn and can not be changed at runtime. This installer includes multiple binaries with preconfigured ifconfig locations.
The preferred way to install openvpn is to put busybox at /system/xbin/busybox and then choose openvpn preconfigured for '/system/xbin/busybox ifconfig'.
Finally /system/xbin/bb is not needed anymore! I hope this update makes live easier for some of you.