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