There are a myriad of ways in which OpenBSD can be installed from a USB device. An article published on
OpenBSD Journal today provides quite a bit of background which can help most newbies wrap their heads around the subject:
http://undeadly.org/cgi?action=artic...20100404103735
Another solid source of related information
(loosely affiliated with the project's developers...) can be found at the following:
http://azbsd.org/~marco/openbsd/flashkeyinstaller/