How can I install the Appliance if my machine does not have a cdrom?
This is possible, although it's fairly complicated.
Unfortunately, the OpenBSD boot loader does not support booting from a usb cdrom so if you still want to use a cdrom to install the Appliance your options are basically
OpenBSD supports booting using PXE from the network. Please read the PXE section in the FAQ http://www.openbsd.org/faq/faq6.html and make sure you can boot bsd.rd using this method before you continue.
When you have booted the bsd.rd installation kernel, you can point it to a ftp server that has all the installation media and when you've purchased the iso, you can just copy the installation files to your ftp server and install from there. This will install the system perfectly and is probably the easiest method, when you have learned how PXE booting works.