Some more information may be needed to sort out your problem.
Possible problems
1) Malformed boot sector on the target hard drive
2) Did install go to the hard drive or the usb drive?
3) Problem building the usb drive
The dmesg is a good place to start and if you can record it and post it here all the better. OpenBSD FAQ on saving the dmesg
http://www.openbsd.org/faq/faq4.html#getdmesg
The usb images are not officially supported but the author does maintain several OpenBSD packages.Trying one of the downloaded image would assess the third possibility.