"OpenBSD is very secure, so install it and then extract this tarfile full of unknown stuff onto your system"
You're supposed to check the digital signature after downloading the install image. Other than that, it's the same as Linux. Windows has a lot of "unknown stuff too", but you can actually research the source code for OpenBSD if you're worried.
I think dfboyd was referring to the article author's personalization files (https://sivers.org/file/63.tar), not the OpenBSD distribution itself.
A tar file isn’t going to do much to your system...