I found this guide pretty good, but it did not work on the first try. There are a few extra steps.
- Activate OpenVPN and get an activation code. This step is not in the guide.
- Connect using the OpenVPN client only after the activation.
- Verify it works using https://whatismyipaddress.com/
- If it doesn’t work even after this, refresh the VPN settings, especially the “Allow clients to use internal network with NAS” setting.