I'm trying to follow the description of setting up a OpenVPN server from here:
I'm assuming that some of the code in the box is actually scripting language (Almquist). Does that have to be write into a file and then excited with as sh command?
Before learning scripting you would get better benefit researching each of the commands used individually to understand their function, most of which will be found in openwrt wiki.
Just keep in mind that busybox's ash is not directly compatible with bash scripts, since bash has way more commands/features than ash. So read the bash documents, but keep in mind that you can not simply copy and paste code from there into scripts you want to run on your router (unless you are also prepared to install bash on the router).