You have bought the CD set?
If not, download from your local mirror and donate.
Relatively recent news (new in OpenBSD 5.5):
installNm.fs is a USB storage image (full install sets),
minirootNm.fs (boot image only, fetch sets via network or elsewhere);
Both are meant to be copied to a USB drive with dd, typically something like
$ dd if=install56.fs of=/dev/rsd2c bs=1m
Where /dev/rsd2c is the raw device for your USB drive. Use tail /var/log/messages while you plug the drive in or check dmesg output to see what your drive attaches as.
Boot from the install media and choose either I)nstall or U)pgrade as appropriate.
"insert demo here"
Note: The installer no longer supports FTP, network installs via HTTP only. (If you run an internal mirror, your life just became easier.)