jesred won't work with OpenBSD > 4.0. Reason: squid >2.5 sends an urlgroup parameter to the redirector. Since jesred is rather old (1998) it does not support such input lines.
But - there is a patch out there.
check the permission of the redirector binary
# ls -la /usr/local/libexec/jesred
-r-xr-xr-x 1 root bin 15620 Mar 14 2008 /usr/local/libexec/jesred
adapt /etc/jesred/redirect.acl and /etc/jesred/redirect.rules to your needs
go to /etc/squid/squid.conf and set the url_rewrite_program directive to
squid and jesred communicates via lo0, check your pf.conf for conflicts
restart the squid daemon gracefully
squid -k reconfigure