The Tun/Tap module should be available in all VPS by default.

You can check this by doing:

# modprobe tun
# modprobe blktap

If they are present you shouldn't get any errors.

On CentOS (and possibly others) you will need to create the necessary devices in /dev/ for it to work.

# mkdir /dev/net
# mknod /dev/net/tap c 10 200
# mknod /dev/net/tun c 10 200