Your lighttpd.conf looks fine as far as I can tell, I've never run lighttpd on OpenBSD, only on FreeBSD, so there may be some specific OpenBSD thing I'm missing.
However, from
http://jenseng.com/archives/000035.html
Quote:
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The reason this happens is that any requests ending in .php are simply handed off to the PHP executable without verifying that such a file exists.
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What file are you trying to open?
Try creating a simple PHP file in your wwwroot, for example:
Code:
<?php phpinfo(); ?>
Name it something simple almost-impossible-to-mistype like info.php