Hello!
KeyGenius does not require the page to support OpenID.
Are you using kg.yubico.com or key-genius.appengine.com?
I would recommend the former, as it is running the open source version of the KeyGenius server and is being actively maintained.
Also, if you're using the latest version of the plugin, you will see that it is installed correctly by the small Yubico icon added to password fields. Are you seeing this? Also, you can use this site:
http://kg.yubico.com/demo to test the plugin. Please try this and see if you get it working. If you run into any other problems let me know!