Note : this tutorial is now obsolete. Please refer to the official OpenBSD installation documentation.
How to obtain a lightweight OpenBSD desktop using the XFCE 4.8 environment
(this tutorial was made using a VirtualBox 4.0 virtual machine)
Download the install CD image : http://ftp.fr.openbsd.org/pub/OpenBSD/4.9/i386/install49.iso (french mirror)
Choose your mirror here : http://www.openbsd.org/ftp.html
The install procedure is straightforward. Boot the CD and follow the Official faq : http://www.openbsd.org/faq/index.html
Some people seem to have problems booting their freshly installed CRUX system. I suspect this is caused by some Linux kernel misconfiguration, so here are some pointers.
I assume you followed the official installation guide here http://crux.nu/Main/Handbook2-7#ntoc9
When comes the kernel compilation phase however, no detail is given (Crux assumes you know how to do that)
Everything can be tweaked, but the goal here is to obtain a working kernel