It's so easy to set up, I can't believe I haven't done it before.

All you need is an openid account (like www.myopenid.com, which they seem to like), and a static HTML page.

You don't really need the static HTML page, but it allows you to switch openid accounts easily.

To login to an openid enabled site, like sourceforge.net, you enter your static HTML page into the openid field, for instance I use http://clay.lenharts.net/openid/. The static HTML page contains some links that point to your real openid account.  After logging in you are done.