Help setting up OpenVPN

I'm trying to setup OpenVPN using a guide I found on the internet.

It didn't work, of course :(

This particular command errors out:

host1 ~: iptables -t nat -A POSTROUTING -s 10.8.0.0/24 -o venet0 -j MASQUERADE
iptables: No chain/target/match by that name.

Tried the whole process on another VPS, got a different error:

host2 ~: iptables -t nat -A POSTROUTING -s 10.8.0.0/24 -o venet0 -j MASQUERADE
iptables v1.4.8: can't initialize iptables table `nat': Table does not exist (do you need to insmod?)
Perhaps iptables or your kernel needs to be upgraded.

Help ?