As Otto suggested: try PXE, it's relatively simple. http://openbsd.org/faq/faq6.html#PXE
You can also write this i386 image to your flash disk using dd: http://devio.us/~doc/openbsd52_usb/ (done as in http://article.gmane.org/gmane.os.openbsd.tech/30048) -- Michał Markowski
