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OpenVPN is a type of VPN. It is currently only supported by aftermarket Android firmwares (custom ROMs).

Taken from the OpenVPN Wikipedia article:

OpenVPN is an open source software application that implements virtual private network (VPN) techniques for creating secure point-to-point or site-to-site connections in routed or bridged configurations and remote access facilities. It uses a custom security protocol that utilizes SSL/TLS for key exchange.

As of now it is not supported on vanilla Android but only available for aftermarket Android distributions like CyanogenMod (and others). See this ticket which requests official inclusion of OpenVPN into Android.