Note: Using the steps below will destroy any data on your disk. Use a spare.

Note: If you would like to read it or run into problems, here is the the official documentation for OpenBSD 4.0 on a i386.

1. Getting the installation ISO. Find an OpenBSD mirror to download the installation environment. The file is
   called cd40.iso.
2. It will start booting in a few seconds (or I believe you can press enter).
3. (I)nstall, (U)pgrade, or just get a (S)hell.
4. Terminal type. I used the default.
5. Set keymap.
   
6. Are you sure? Yes.
   
7. Which disk? I only had one so I pressed enter. Do you want to use the entire disk? Yes. This creates a whole disk
   OpenBSD “slice” which you will make into partitions in the next step.
8. This is the tricky part. It puts you into an odd fdisk (for non BSD users). The options are NOT the same as Linux or Windows fdisk. The p command prints the current drive configuration. Basically you DO NOT want to delete the c partition. Its the whole disk slice which was created in the step above.
9. Delete everything but the c partition with the d command.
10. Create a new partition with the a command. It will then ask you for the name, offset, size, type, and mount point. Leave the name and offset as the default. You need to leave some space for swap so I used 3GB of my 4GB disk. You can use M to specify Megabytes. Thus 3GB is 3000M. It then conveniently assumes you want the BSD filesystem type. Choose / as your mount point. Now we have to create the swap partition. Its more of the same. Just press a and use the defaults. I am running this through VMWare so I chose a large swap partition.
11. Once the disks are setup press q to quit and then confirm.
12. The next screen is the network options. I chose thirdtry as my hostname and dhcp as my method of obtaining my ipaddress otherwise I just used the defaults.
13. Enter the root password and confirm
14. If your following these instructions choose http as the location of the sets and then type yes to display the list of known http servers:
    
15. Your in more so press the space bar to see the next page. The US servers are at the bottom.
16. Choose a mirror near your location and accept the default server directory.
17. Are you ready? Yes.
    
18. Installing!
    
19. Once the download is complete it will ask you again for the location of the sets. This is for extra packages such as X. I chose the default of done and did not install any extra packages.
20. Choose the the defaults except for timezone.
21. Can it really be installed?
22. Type halt and then reboot.
23. Congratulations you have just installed OpenBSD!