We report on searches for the neutral Higgs bosons H_1 and H_2 predicted by the Minimal Supersymmetric Standard Model (MSSM) both in the CP violating and CP conserving hypothesis, where H_1 and H_2 are the lightest and next-to-lightest neutral Higgs mass eigenstates in the CP violating MSSM and are identified with the CP-even and CP-odd scalars, h^0 and A^0, respectively in the CP-conserving MSSM scenario. Searches for neutral Higgs bosons in e^+e^- collisions at centre-of-mass energies up to 209 GeV collected by the OPAL detector at LEP are interpreted in this context. The Higgs bosons are assumed to decay to bbbar, to tau^+ tau^- or to general hadronic final states using dedicated flavour-independent searches. In all channels, the observed number of candidates and their properties are consistent with Standard Model expectations. These results allow limits to be placed on the parameters of the Higgs sector of the MSSM. For the first time limits in CP-violating MSSM scenarios are set.