For one, OBSD 3.7 is not out yet. Look at www.openbsd.com
and you will see.
For instructions on how to install Open BSD 3.6 go here: http://www.openbsd.com/36.html
Open BSD does not release full ISO CDs for download. You actually have to purchase them. You can, however, download a bootable image and do a ftp install. One time when I attempted to install it I downloaded a bootable cd image and downloaded the packages (there's not that many) and made my own bootable CD with all the basic packages.