There are various pages that advise on setting up an Open VPN Server on Amazon EC2, but all I need is to setup a client (so any internet access is routed through the VPN rather than coming directly from AWS IPs). I can transfer the .ovpn file to it and start it with
openvpn --config client.ovpn
But as soon as I do this I lose my ssh connection and therefore cant do anything with it. Googled extensively and found various suggestions that claim to bypass either certain ports or certain IP addresses. Either would be fine, i.e. I am happy to be restricted to certain IPs to connect via ssh when its running.
However, none of these seem to work in Amazons environment, e.g. see OpenVPN client on Amazon EC2. Its a new instance, so sits in VPC if this helps.