Assumption: you have a single computing system available, and are currently multibooting.
Samba, or any other network-based solution for file transfer requires at least two systems.
The easiest way to transfer data within a multiboot system is to use a second disk drive or to use an external storage device. And the easiest filesystem to use, because it is supported by both XP and OpenBSD, is FAT32. You won't have any permission or ownership information, but you can copy files up to 4GB in size.
(NTFS support on OpenBSD is read-only and requires a custom kernel.)
If you have no external storage, and only a single hard drive shared by both OSes, and no external platform to transfer files from and to.... you could still craft a networked solution while running OpenBSD in a virtual machine as a guest of XP. The specifics of such a solution would depend on the virtual machine software you choose.
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