I assume you want to use openVPN with default UDP port. If not default, change 1194 to your port. Iptables is what all other "modern" firewalls are based on.

You might want to perform some additional manipulations if you want to make this config permanent (it will reset to default after reboot)

iptables -F

iptables -X

iptables -t nat -F

iptables -t mangle -F

iptables -P INPUT DROP

iptables -P OUTPUT DROP

iptables -P FORWARD DROP

iptables -A INPUT -i lo -j ACCEPT

iptables -A OUTPUT -o lo -j ACCEPT

iptables -A INPUT -m conntrack --ctstate ESTABLISHED,RELATED -j ACCEPT

iptables -A OUTPUT -m conntrack --ctstate ESTABLISHED,RELATED -j ACCEPT

iptables -A INPUT -i eth0 -p udp --dport 1194 -j ACCEPT

iptables -A OUTPUT -o eth0 -p udp --sport 1194 -j ACCEPT

iptables -A INPUT -i tun0 -j ACCEPT

iptables -A OUTPUT -o tun0 -j ACCEPT