Here is a quick howto to make an almost seamless OpenBSD desktop from windows
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Step 1: install cygwin with at least the xserver

Step 2: install vmware server

Step 3: install OpenBSD in vmware server (preferably with a NAT NIC)

Step 4: reconfigure OpenBSD
in /etc/rc.conf.local, add xdm_flags="-udpPort 177"
in /etc/X11/xdm/Xservers comment the line ":0 local /usr/X11R6/bin/X :0 vt05"
in /etc/X11/xdm/Xaccess, add a line with only "*" on it
Assuming your OpenBSD installation has been configured by vmware to get an IP in the range 192.168.40.0/24, add a name for 192.168.40.1 and 192.168.40.2 in /etc/hosts
Start xdm with "xdm -udpPort 177"

Step 5: make a .bat script for cygwin to start the xdmcp client to your OpenBSD install
The script below assumes your OpenBSD install has got the IP 192.168.40.128
"
@echo off
SET DISPLAY=127.0.0.1:0.0
SET CYGWIN_ROOT=\cygwin
SET PATH=.;%CYGWIN_ROOT%\bin;%CYGWIN_ROOT%\usr\X11R6\bin;%PATH%
SET XAPPLRESDIR=/usr/X11R6/lib/X11/app-defaults
SET XCMSDB=/usr/X11R6/lib/X11/Xcms.txt
SET XKEYSYMDB=/usr/X11R6/lib/X11/XKeysymDB
SET XNLSPATH=/usr/X11R6/lib/X11/locale
if not exist %CYGWIN_ROOT%\tmp\.X11-unix\X0 goto CLEANUP-FINISH
attrib -s %CYGWIN_ROOT%\tmp\.X11-unix\X0
del %CYGWIN_ROOT%\tmp\.X11-unix\X0
:CLEANUP-FINISH
if exist %CYGWIN_ROOT%\tmp\.X11-unix rmdir %CYGWIN_ROOT%\tmp\.X11-unix
:STARTUP
run XWin -query 192.168.40.128 -port 177 -clipboard -silent-dup-error -rootless :0
"

Step 6: Execute the .bat you just created and login onto your OpenBSD system

Step 7: Customize your OpenBSD installation
note: if you use xfce4, just uncheck the "Allow Xfce to manage the desktop" from the Desktop Preferences. The same should apply for gnome or kde.