BSD install

I am attempting an OpenBSD install and have run into a snag.

OpenBSD 3.4
P2/400
256meg RAM
12Gig HD
Basic box with NIC

When I get to the part where you choose the installation media,
I tell it to look for sets on the CD.
However, it comes back with "no CD-ROMs found".

I am looking for guidance or ideas, or a brain.
TIA

ShieldX