If you have a CD burner, it's not too hard... I made one not too long ago that was bootable, etc... First, read the INSTALL.i386 file, found at:
ftp://ftp.openbsd.org in /pub/OpenBSD/3.0/i386
Grab the files that you need (You'll probably want most of them, but not all. See the above file for what you need exactly.).
Now, head on over to
http://www.shockley.net/obsd-bootcd.asp for some fairly good instructions...
You'll need to change some of his commands to fit your own file names and directory structure, though.
NOTE: If you find a ready-made OpenBSD ISO image online, do not use it! Not only is it against the modest license of the OpenBSD project, but since it comes from an untrusted source, it may contain foul code. If possible, order the CD from OpenBSD - help keep it available for everyone to use!
Also, if you have a high-speed connection, you can install via FTP. It's very quick and easy... All you have to do is download and make a bootdisk, then boot up from it, and begin the installation.
Hope this helps; please post back if you have any specific questions.