Did you download http://www.openafs.org/dl/openafs/1.5.78/macos-10.6/OpenAFS-1.5.78-Snowleopard.dmg ?
Upon opening it I was presented with a window with a few options, one of which said "Click icon to install".
I ran through this installer, entered my password, entered in a false cell name as I do not have a cell to connect to at the moment, and finished the install.
I do now have a system preferences area called OpenAFS.
It has all of the options though upon first running it does tell me there is an error with a config file not existing, I assume because I would create it and save it.
Could you post any error messages from the console when you install OpenAFS? Are you an administrative user? Any other information would be useful in troubleshooting this.