Spirit, to clarify what coyo wrote: support for 4.1 was discontinued when 4.3 was released in May. No futher security patches will be published for 4.1.
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To answer your question: OpenBSD is source code maintained. In order to apply a patch, you must have:
- The correct source code installed in the correct location. FAQ 5.1 and FAQ 5.3.3 are mandatory reading.
- The compiler fileset (in this case, comp41.tgz) for the OS already installed. FAQ 4.10 will tell you how to do so if you did not include it during intallation.
- The ability to follow the instructions in the patch. If that includes rebuiling the kernel or userland, follow 5.3.3. or 5.3.4 appropriately.