First step is to download the latest stable version from here:

https://www.open-mpi.org/software/ompi/v4.0/

After opening the tarball, go into the directory and configure:

./configure --prefix=/opt/openmpi-4.X.X --enable-mpi1-compatibility

Substitute X.X for the actual version being installed. This will allow you to have multiple versions of openmpi on a system, which may be needed for existing applications or research projects. The mpi1 compatibility thing is only needed if you plan to install scalapack.

Next:

make
sudo make install