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A VPN (or Virtual Private Network) allows two devices on the Internet to communicate over an encrypted connection. Since the data that goes between the devices can not cannot be read by a third party, it is as if they were on a private network, hence VPN.
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Note: if you make a mistake and have to recreate and re-load you the tar file then you must first disable the VPN setting, upload the new key and the re-enable the VPN. The new key will not upload if you fail to do this!
Firewall Implications
For the VPN to work, the phone must be able to make a connection to the remote PBX via OpenVPN.
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Your PBX must be able to accept connections on UDP Port 1194 as well - these can be restricted to Phone IP addresses if you know where your phones will connect from, but in general the PBX should accept OpenVPN connections from anywhere.
Diagnosing issues
The yealink Yealink handsets allows you to download a log file which can be quite useful in diagnosing issues. Search for the keywoard keyword 'openvpn' in the logs.