This was news to me as well, the only VPN client functionality I recall seeing on a stock consumer router prior was PPTP and L2TP but an OpenVPN client does appear to be there on the higher-end N and AC models.
I guess I will just have to give it a shot.
For the record the something-or-other is a TL-WR1043ND, I think it was $20 at Newegg on Black Friday 2011.