Hey guys, I've been having the same problem, and found a possible solution over at a Google discussion forum. Here's the answer (which I haven't tried yet):
"The wp-openid plugin doesn't actually create or setup your OpenID URL,
it only allows OTHER people with OpenIDs to login to YOUR blog. I can
see how this would be confusing, and it will either be improved later
on (by including the wp-yadis/delegation functionality) or shipping an
OpenID provider with the plugin.
For now, you'll need to install this plugin to setup your blog as your OpenID:
you also could use Stephen Paul Weber's XRDS plugin:
Both should achieve the same thing for you.
Hopefully this will work