The P6S5AT
spec sheet shows a USB 1.1 port.
You can boot from it.
If the BIOS will let you boot from it directly, you just install directly onto a USB stick.
If the BIOS doesn't let you boot from it directly, you do the exact same install, but you boot the OpenBSD bootloader from CD/DVD drive or from diskette, and select the kernel installed on the stick.
Either option works fine, and if booting from diskette you can create a boot.conf(5) file to automatically load the kernel from USB stick.
---
I've never heard of the ISO you're looking for either, and if it is based on OpenBSD 3.8, you'll be entirely on your own. That release has been unsupported since 1 November, 2006.