Hmmm, what's so difficult about it
While you install OpenBSD you were asked which filesets do you want to install. I'm talking about these ones:
http://www.openbsd.org/faq/faq4.html#FilesNeeded
Per default the Xorg-files will not be installed. So you will select xbase44.tgz, xetc44.tgz, xfont44.tgz, xserv44.tgz, xshare44.tgz.
After you have finished the installation and added a user (because you won't use the system as root) just type "startx" at the prompt and you will be welcomed by a minimalistic
fvwm (1) windowmanager.
If you already have installed OpenBSD without the X-related files please have
a look at this.
If X won't start you will
first read this. And if you want more general information about the X window system in OpenBSD
you should read this.
Edit: BSDfan 666 was faster!