All right, here are the things I did :
_First I understood the difference between client and server, something that is not emphasized enough (or at all) in most of the sources. I want to establish my OMV as a client, and it turns out that almost everything in the internet is for setting a server. Nevertheless I managed to gather the little information there is.
_So I took the files my VPN provider gave me, the crt/key/pem etc, and transfered them with WinSCP in /etc/openvpn
_Then I started openvpn; didn't work, cipher list does not match, turns out openvpn 2.2.1 is too old.
_I use this openvpn tutorial to upgrade to latest openvpn 2.4.2 on Wheezy, because the Debian repositories have 2.2.1 as latest
_It almost works. No more cipher error, it almost connects, but I get an error at the end :
/sbin/ifconfig tun0 add fyu0:d1d1:cafe::1194::1004/64
SIOCSIFADDR: Permission denied
Exiting due to fatal error
I am running the openvpn start command as root and with sudo.
edit :
Ok I made it work by doing
sysctl -w net.ipv6.conf.all.disable_ipv6=0
openvpn or ifconfig was trying to setup some ipv6 which was apparently not supported. Fixed now with no ipv6.
Initialization Sequence completed as I started openvpn, only that the program was hanging... No possibility to write a new command. So I stopped with ctrl + c and added --daemon at the end of the openvpn start command. It correctly starts and I could write commands again right after.
VPN seems to work as if I traceroute 8.8.8.8 I start at an adress of 10.x.x.x with a completely different route as before.
Thanks... I do hope this will be useful to someone somewhere sometimes.