Okay, we've got an OpenBSD snapshot. Now what? Next, we use mkisofs
from cdrecord to create an ISO image. You can get cdrecord from:

http://www.fokus.gmd.de/research/cc/glone/

If you're running one of the BSD systems already, it's also in the
Ports collection. So, let's assume that you've got everything you
want on the CD in C:\OpenBSD. The command you need to run is: 

c:\isotools\mkisofs
 -v
 -r
 -T
 -J
 -V "OpenBSD-Current"
 -b C:/OpenBSD/2.8/i386/cdrom28.fs
 -c boot.catalog
 -o C:/OpenBSD/OpenBSD-Current.iso
 -x C:/OpenBSD/OpenBSD-Current.iso
 C:/OpenBSD/.

All that goes on one line, of course. To sum up the variable commands,
-V is the volume label, -b is the boot image, -o is the output file,
and -x is files to exclude (since I don't want to recursively include
the image itself), and the final C:/OpenBSD indicates the directory
where the files are. Note the Unix-style slashes. The file boot.catalog
is created by mkisofs, so don't run around trying to find one. 

Now that we've got the ISO image created, all we need to do is burn it
on a CD. I use Easy CD Creator 4, but you can use cdrecord or any other
ISO-capable CD burning program. These instructions use Unix-style programs
that have been ported to Windows, so if you don't have a Windows machine
laying around most everything should apply. 

On an OpenBSD box, you can run:

sudo cdrecord -v driveropts=burnfree dev=/dev/rcd0c image.iso

That's how my cdburner has to be called in the command. Yours may vary
from that depending on your hardware configuration.

Update: 

Due to some issues with relative paths, in this case, a FreeBSD 4.1
system (yeah, this article's really old), these updated instructions
are a little different:

mkisofs
 -v
 -r
 -l (added)
 -L (added)
 -T
 -J
 -V "OpenBSD-2.8"
 -A "OpenBSD v2.8-Release, Custom ISO, 12-03-2000." (added)
 -b i386/cdrom28.fs (changed)
 -c boot.catalog
 -o openbsd-i386-2.8.iso (changed)
 -x openbsd-i386-2.8.iso (changed)
 /www/openbsd/iso/2.8/

Pretty much everything stayed the same except for:

-l # I wanted to use long filenames
-L # Included any files starting with a dot, in case there were any
.message files or anything like that. Probably not necessary though
-A # Added a note about the iso itself
-b # Changed absolute path to relative path. My iso is made from
/www/openbsd/iso/2.8 so I put "i386/cdrom29.fs" on there, which translates
to /www/openbsd/iso/2.8/i386/cdrom29.fs
-o # Same idea as above. My output file location is relative to where I'm
creating the image from, so the output is actually going to
/www/openbsd/iso/2.8/openbsd-i386-2.8.iso
-x # same as your instructions
/www/openbsd/iso/2.8/ # Where the files are I'm creating the iso from.

Hopefully, between these two sets of instructions you should be well on
your way towards making a bootable CD for your OS.