The CD image is a CD9660 file system, using an El Torito boot. This works for CDs, but will not work for flash drives. They need MBRs, just like a hard drive. I do not know of any way to make a CD9660 file system bootable on a hard drive.
If you cannot use any of the install media (diskette, CD, network) then you can either yank your hard drive and insert it into a different computer that can, or, you can build your own bootable pen drive from another, pre-existing OpenBSD system. You need the ramdisk kernel and the second stage boot loader in an OpenBSD FFS file system, and you need a PBR installed in the MBR to point to the second stage boot loader.
Network boot for install should be an option, and it does not require a pre-existing OpenBSD system. Specific needs vary by architecture. Since you're asking about bootable USB connected flash drives, I'll assume either i386 or amd64: those merely requires a NIC on the installing system that supports PXE, and a configurable DHCP server and a TFTP server on your local network.
Last edited by jggimi; 30th May 2008 at 04:39 PM.
Reason: clarity
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