Does anyone know why OpenVZ hasn't been merged into the official Linux kernel?
Right now you have to download a special kernel from openvz.org
Some parts OpenVZ were merged into the official kernel but not enough to run OpenVZ. So you do need a separately patched kernel.
The best way to install an OpenVZ is through a package manager. On CentOS / RedHat variants you probably will need to add some external repositories. On Debian stable (6.0) the OpenVZ kernel image is in the official repository and gets security patches.
Even though it's in mainstream Debian (who use the official Linux branch), it seems that OpenVZ team prefers to stick more closely to the RHEL branch.