If your program is just one big loop using OpenMP can be as simple as writing:
#pragma omp parallel for
OpenMP is only useful for shared memory programming, which unless your cluster is running something like kerrighed means that the parallel version using OpenMP will only run on at most one node at a time.
MPI is based around message passing and is slightly more complicated to get started. The advantage is though that your program could run on several nodes at one time, passing messages between them as and when needed.
Given that you said "for different data sets" it sounds like your problem might actually fall into the "embarrassingly parallel" category, where provided you've got more than 100 data sets you could just setup the scheduler to run one data set per node until they are all completed, with no need to modify your code and almost a 100x speed up over just using a single node.
For example if your cluster is using condor as the scheduler then you could submit 1 job per data item to the "vanilla" universe, varying only the "Arguments =" line of the job description. (There are other ways to do this for Condor which may be more sensible and there are also similar things for torque, sge etc.)