You want to run XWindow (Xorg) rather than command line on OpenBSD. Here are the trick.
It should be also applicable for every system running Xorg as the X server like Linux, FreeBSD, Opensolaris, etc.

Login as root and run command below:

# X -configure
[snip messages]
Xorg detected your mouse at device /dev/wsmouse. 
Please check your config if the mouse is still not operational, 
as by default Xorg tries to autodetect the protocol.
Your xorg.conf file is /root/xorg.conf.new. 
To test the server, run 'X -config /root/xorg.conf.new'

If there are no errors and you can see the default xwindow of OpenBSD, the Xorg is successfully configured.
You have to copy the /root/xorg.conf.new to /etc/X11/xorg.conf file so you can simply type ‘startx’ via command line to start X window.