I'd say that for that example there might be a "How?" link that would explain that it uses OpenID. And then after it's completed there might be another link like "Learn more," or something.

The idea I have in mind is that OpenID should not be a "brand name" so much as something to take for granted. The first prompt would set up the expectation in people's minds that they can use their account from another website (which they should be able to), and then the second would be a quick teaching moment to explain either how it happened or how it didn't.

The impression they should walk away with, I think, is not being confused by techie terminology but either being impressed ("Hey, I didn't know you could do that!") or annoyed with their home website ("How come they don't use this when all these websites do?")