Well, I can't speak for the commands to unpack it (and I assume you want it to be bootable) onto the pendrive, but you downloaded the older way of installing. In the old way, you had this small agent (5mb) that would start the install, and you then pointed it to the actual location of the packages (on the net or an ftp server you had predetermined). Check this link for more info
http://www.openbsd.org/faq/faq3.html#ISO
That should tell you what you need. If you are planning on putting the whole OpenBSD install on your pendrive, that option is certainly available to you, you just need to download the right iso.