In previous version OpenBSD included the CDROOMXX.FS on their release (XX is the version of OpenBSD), we need CDROOMXX.FS to make bootabe CD. When we using nero to make bootable CD, it need BootImage, and than we can use CDXX.FS as boot image, so the disk we will make will bootable.

So whereis the CDROOM43.FS ? we can find it on file cdemu43.iso, you can extract it and you can use CDROOM43.FS as boot image.