I set up my own openVPN server and clients a few months ago, and I found the HOWTO here the most helpful: http://openvpn.net/howto.html
I followed it pretty much step-by-step, and I've got a working setup.
I'm a little fuzzy on exactly what you have to do to route all your internet traffic through the VPN, but I'm quite sure it can be done. You might look into using a "bridged" connection to your VPN. Any specific reason you want _all_ your internet traffic tunneled through the VPN? In my setup, I only use the VPN to encrypt my hard disk backups over the internet (and so that the computers being backed up act like they're on the same subnet as the backup server).
As for checking to see if you're actually connected... "sudo ifconfig" will show you all your network adapters. If you see either a "tun*" or "tap*" device, you're most likely connected. to make doubly sure, you can ping your VPN server. Say you've been assigned the ip address 10.8.0.18 on your tun adapter, "ping 10.8.0.1" should be what you want.