Edit the lrpkg.cfg (pre Bering-uClibc-2.2.0) or leaf.cfg (Bering-uClibc-2.2.0 onwards) file and add openvpnz.lrp, easyrsa.lrp, liblzo.lrp, libssl.lrp, openssl.lrp and libcrpto.lrp to the list of packages to be loaded at boot. Check the Bering-uClibc Installation Guide to learn how to do that.

You don't need liblzo.lrp if you choose the OpenVPN package without lzo support (openvpn.lrp).

openssl.lrp and easyrsa.lrp are only needed on your OpenVPN server to create the keys. You don't need it on an OpenVPN client and you don't need to load it on your OpenVPN server, once you have created the keys.