Just follow the install instructions at the bottom of the zaurus page on openbsd.org. Basically you'll copy the necessary files to an SD or CF card (FAT 16 formatted), boot into single user mode (you can do this even if you have nothing on your hard drive). Once in single user mode, just follow the directions in the install guide. The install guide also covers which files are needed, and how to get into single user mode.
Good luck!
P.S. it's a good idea to remove any CF cards during this process, as it seems to mess things up (caused me to lose several hours)