You'll need to set up some sort of web proxy server on the OpenVPN server (
squid is pretty good), and make it listen on the same interface as the OpenVPN server. Whichever proxy server software you end up using, make sure you configure it correctly so that only authorised clients are allowed to use the proxy, to prevent abuse. In particular, make sure it's not running on a public network interface without some sort of authentication mechanism in place, or you're asking for trouble