AWS VPC has its own hardware appliance built into the service that is not openVPN. openVPN is a software based VPN client connectivity that can be used with VPC.
If you are not running AWS VPC, you have to install a software VPN on an EC2 instance. You may want to use a micro instance and not install on same server as all the other software components (for security reasons). This web page explains how to use openVPN to just this: