OpenMP is part of many vendor's compilers and not a separate stand alone tool. You may already have support for it in the product you are using. You can look at the following pages to see if your vendor supports it and in which release:
Several of the ones on these lists are now free. The list is constantly changing (new vendors supporting OpenMP, vendors open sourcing their code, making it free for non-business use, etc), so you should look to see which fulfills your needs the best.