If I recall correctly, OpenVPN cannot act as an HTTP proxy but it can use them. OpenVPN is what the name implies, a VPN. Assuming the firewall you are trying to get around (keep in mind, if you are trying to bypass corporate firewalls and such, that may be illegal in your agreement/contract, etc) allows for a client to establish a connection to a remote OpenVPN, you should have no problem using OpenVPN to ‘proxy’ out of your firewall.