I am going to assume that GRUB had been installed as the bootloader from a prior Linux install.
If so, I believe you have two options:
Option 1: If Linux will no longer be one of your operating systems: Install a standard MBR boot program, that loads and executes the PBR of the "active" partition. Follow guidelines for multiboot from FAQ 4 after successful installation and execution. A lot of us like the GAG bootloader, as it is easy to install/deinstall and configure.
One method to do install a standard MBR boot program would be to boot the OpenBSD install media, select the shell, and use:
# fdisk -u <device>
See the
fdisk(8) man page for assistance.
If the OpenBSD partition was previously flagged as the boot partition ("active" in Microsoft's terminology), which happens during OpenBSD install, then OpenBSD should then boot.
Option 2: If Linux is retained: you may elect to continue to use GRUB. Follow the instructions in the INSTALL.linux document that can be found on the installation CD or at your closest mirror in /pub/OpenBSD/<rel>/<arch>.