Once you have hardware, you need OpenBSD. You can get OpenBSD on CD and over the Internet.
Why would you buy an official CD in the 21st century?
The OpenBSD project is funded largely by sales of official CDs, along with related books, clothing, and so on. You can download a disk image from the Internet and burn your own installation disk, but purchasing an official set helps improve OpenBSD. The OpenBSD team tries to make the official CD sets interesting pieces in and of themselves, and usually packages them in some sort of geek-themed art. To get an official CD, go to the OpenBSD website and look for the Getting OpenBSD link. You can also find a whole bunch of OpenBSD-related merchandise.
You can download installation ...