I know there are plenty of tutorials for Etch, but I could not find any that is devoted to installing OpenVZ on Lenny. There official guide mixes Etch and Lenny and thus was unhelpful.
There is a great tutorial on howtoforge: http://www.howtoforge.com/installing-and-using-openvz-on-debian-lenny-amd64
The tutorial seems to be for x64 machines, but the author wrote enough comments for x86-machines into the article so you shouldn't have any problems. I installed my host node using this howto and it works great.