This is now fixed.
A HUGE thank you to: cbxbiker61 and Adam Franco for their pre-built kernels and instructions on how to install them.
The latest 2.6.31 prebuilt kernel has tun support included - OpenVPN now works a treat.
I used the following Wiki page for instructions:http://www.openplug.org/plugwiki/index.php/Install_Prebuilt_Kernels_From_sheeva.with-linux.com
The only part missing is when running the README.... file, I installed to nand.
The hardest part was getting my MacBook Pro connecting to the SheevaPlug via the USB console!!
Again - HUGE thanks to these guys. I can now retire my old XP laptop/server and keep the wife happy with my small, low power SheevaPlug providing all the same services (file share, imap/smtp, OpenVPN, squid)