Is your VPS OpenVZ or KVM... ?
Is your tun/tap enabled on the VPS?
you can check using the following command:
cat /dev/net/tun
The result should be something like:
cat: /dev/net/tun: File descriptor in bad state
Here's my ovpn config file that works fine for me
client
dev tun
proto tcp
remote xxx.xxx.xxx.xxx 443# - Your server IP and OpenVPN Port
resolv-retry infinite
nobind
tun-mtu 1500
tun-mtu-extra 32
mssfix 1450
persist-key
persist-tun
ca ca.crt
auth-user-pass login.conf
comp-lzo
reneg-sec 0
verb 3
I use port 443 which is the default https port, because at work everything is blocked except port 80 and port 443 over tcp (default http and https)