You don’t really need a network connection during installation at all, it’s just a convenience. In your case, you’re really in a catch-22: Your NIC needs firmware to operate, but you’d need your NIC to download said firmware from the internet…
But as said: The whole installation can be done without any kind of network connection at all. Have all the installation sets (base55.tgz et al.) ready on either your install medium or an USB stick or similar; during install you will be asked if you have additional sets to install.
Ignore the wireless card during the installation; there’s no way of getting it to work at this point, and you’ll have to set up the wireless card properly anyway (SSID, WPA and so on). All this is easier if the system is up and running; the installation kernel is kept to the barest minimum in order to fit onto the tightest media.
Once you boot up the ‘real’ system for the first time, install the wpi-firmware package. You can easily break the catch-22 by downloading the required package from http://firmware.openbsd.org/firmware/ and putting it onto that same USB stick or whatever, then install it manually using pkg_add. The fw_update script mentioned by kyrias doesn’t really do anything else, it just a convenience.
The underlying problem is that the OpenBSD folks are not allowed to distribute the firmware directly, so they are jumping through those hoops in order to maintain their integrity. In an ideal world, NIC vendors wouldn’t be this uptight with their firmware or documentation, so it would have worked out of the box.