I assume that you do not want to test with a real OpenID provider, so you probably need to create some kind of fake. Or maybe drown out the OpenID mechanism so that you can choose the execution path in your code so that it returns different ready-made answers for different tests.
In terms of using Cucumber with Rails, Webrat is considered the standard way to fake a request through the web stack - it is quite powerful and gives good readable definitions of steps. See these links for more information:
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