Is this sort of connection possible?
YES
Is there something I can do to make it work?
Probably
I do this regularly but there is far too little information here to help you.
Depends on whether OpenVPN is running in bridged or routed mode and whether you SME Server is running in Server only mode or Server-Gateway. The OpenVPN port is configurable in the open VPN config / connection script. The OpenVN log file should shed some light. Increase the verbosity of logging if necessary to get some info. A traceroute may tell you where the blockage is.
There are some UAC setting that need to be put in place to install and run the OpenVPN client on a Vista / Win7 PC.
I forget what they are but I found them easily with Google.
I have not needed to make any changes to my SME Server - Gateway to pass openvpn traffic to a number of different sites that I need to connect to.
and nothing to do with SME server
. From my experiences with the OpenVPN client, I would start looking at your Vista security and UAC settings.
HTH
Peter