OpenID is not available for any new blogs created after 2016-01-02. Blogs created before that date can use OpenID.
The instructions from this guide are referring to the WP Admin dashboard. You can get to this dashboard by adding /wp-admin to the end of your site’s url (e.g.: example.wordpress.com/wp-admin)
The OpenID Settings page is a place to configure the trusted sites that can use your WordPress.com blog as an OpenID login. OpenID is an open standard that lets you sign in to other sites on the Web using your WordPress.com account. This means less usernames and passwords to remember and less time spent signing up for new sites.
How do I get an OpenID?
If you have a WordPress.com blog, you have an OpenID already! An OpenID is a URL, and your OpenID is the URL of your blog, for example: http://matt.wordpress.com/
How do I use my OpenID?
Look for sites with sign in forms that look like this:
Enter your OpenID – that’s the URL of your weblog:
Click the button, and you will be redirected to WordPress.com. If you are already logged in, you will be asked if you want to pass your identity to the site:
Click “Yes; just this time”, or “Yes; always” if you don’t want to be asked this question again for this site.
You will be redirected back to the site and logged in, all without using a username or password!
What if I'm not signed in to WordPress.com?
If you try to use OpenID while you aren’t signed in to WordPress.com, you’ll get the following message:
The page does not contain a login form or links; instead it encourages you to browse to WordPress.com using a bookmark. This is to protect you from phishing; a bad site might try to send you to an imitation of WordPress.com and steal your password.
Can anyone else use my OpenID?
WordPress.com OpenIDs belong to blogs, not individual users. Any user who has the Administrator role on a blog can authenticate using that blog as their OpenID. You probably don’t have to worry about this, but you should keep it in mind if you have multiple administrators set up for your blog.