Hi.
Maybe you should read the
OpenBSD FAQ - Section 10.
Note that in OpenBSD, the Apache
httpd(8) server has been
chroot(2)ed by default.
Also note that the Apache manual is available as part of the man file set, and installed in /usr/share/doc/html/httpd.
I think index.html
(or index.php) must be installed in /var/www/htdocs.
You can create some symbolic links, and then place your files wherever you want 'em to be, but I never tried.
Edit : you can also edit your configuration file /var/www/conf/httpd.conf.