You need the module tun, check if it is still available with modprobe tun or download the modules for your kernel.
VPN for a ARM CPU is available in SHR (unstable?). Install it with: opkg install vpnc and edit the default configuration file /etc/vpnc/default.conf. It is also aviable under http://www.angstrom-distribution.org search for VPN. Tested with vpnc_0.3.3-r2_armv4t.ipk. Install it with opkg install [filename or URL]. Edit