Usually when I install OpenBSD I install using a boot floppy and download what I need thru FTP. But if you have to do an install without an internet connection then you have no choice but to use a CD. But the OpenBSD project does not offer downloadable ISO images like most linux distros. This is because they want you to buy their CD's which fund their project. If you use OpenBSD please buy something (shirts/posters/cd's/stickers) from their site to support their project. I buy t-shirts. But since I don't buy CD's I have to make my own. So this is how to make your own bootable OpenBSD CD.
This example was done for the OpenBSD 3.8. Architecture i386.
1. To start you will need to download and install a program called "mkisofs" (I am using version 2.01). This is the program that will make the ISO image that we can burn to a CD. I have only used this on NIX type systems I am not sure if it is available for windows. Search freshmeat.net if you need to find it. Or if you have a Debian GNU/Linux system (like me) you can just type "apt-get install mkisofs".
2. Next we need to make a few directories which will be the file system hierarchy. The top directory will be called "OpenBSD". The next directory down will be the version number of the OpenBSD release (3.8). The next directory down from that will be the architecture type (i386). In the architecture directory is where the install files will be going. Here is a quick example of making the hierarchy in the /tmp directory. Please switch to the root account to perform any steps if necessary.
mkdir -p OpenBSD/3.8/i386
3. Now stay in the "i386" directory. This is where we are going to put our install binaries. Find a mirror and download the following binaries (below) from the i386 architecture directory like ftp://ftp3.usa.openbsd.org/pub/OpenBSD/3.8/i386. The following commands will download the entire remote directory to the current local directory if you have the program ncftp or wget installed.
or try wget
wget --passive-ftp ftp://ftp3.usa.openbsd.org/pub/OpenBSD/3.8/i386/*
The list below includes all the files in the 3.8 directory.
4. Now we will make the ISO image. We will go back up to the "OpenBSD" directory and execute the "mkisofs" command with some options. We will be using the cdrom38.fs to be our boot image for the CD. If this image has boot problems on your computer then you can try the floppy38.fs as your boot image. Please see the mkisofs man page for what the options are for. Please note that if /tmp/OpenBSD/OpenBSD38.iso exists and you run mkisofs again it will simply append the new image to the old image. Thus making the new image twice as large with illegal directories. Ok execute the following commands:
mkisofs -vrTJV "OpenBSD38" -b 3.8/i386/cdrom38.fs -c boot.catalog -o OpenBSD38.iso /tmp/OpenBSD/
5. Now you should have a ISO image named "OpenBSD38.iso" in the /tmp/OpenBSD directory. Take this ISO image and burn it to a CD using your favorite burning program. Enjoy!