Intel Macs use EFI instead of legacy BIOS booting, however.. a basic legacy module is provided (..emulated BIOS) so you can boot and install traditional x86 operating systems.
Booting the OpenBSD CDROM is one thing, properly partitioning the disk so that it's bootable.. that's something you'll have to research, many people have posted success stories on the mailing lists and whatnot, no doubt some googleable tutorials exist.
Have fun.
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