There is no way to do this in OpenGL, but there are libraries out there that can help you out, they can import VRML scenes into a scene graph of some kind and then you can use OpenGL to display it.
But please notice that VRML is a pretty complex beast so there is no simple way to just grab a VRML file and show it up in your OpenGL application.
What kind of library you need is up to you, depends on license and if you want a free one or a commercial one, use our friend google to find them.