hello, this is just to share my experience running the os on a vmware player. may be it will be of use to these like me who has hardware which is not yet suppported completely. for example, i do not have any support for wireless yet on my laptop, and i have to use windows for work, so dual boot was the only option until it occured to me to look at the virtualisation software.
wikipedia has a good article with a comparison chart on that. anyway, i downloaded a free vmware player from vmware.com, and got a machine for it with openbsd 3.8 installed. it works fine. i am sure that since this is just a machine, you can install 3.9 on it too. did not try that myself though. also, i think there is a way to run this machine from a "raw disk" instead of a virtual disk. there is a discussion about using raw disks on the vmware.com site. but as they say booting a VM from a raw disk and also being able to boot your physical machine from this same disk might be technically difficult because this is like moving your disk to another machine and trying to boot it on both machines. konstantin

