I am currently doing some development on Windows that uses OpenSSL libraries. OpenSSL does have binaries to Win32 for download, but maybe you want to roll your own (I wanted to run the latest stable release, which is at this moment not available for binary download).
The attached script helps you with the compiling OpenSSL on Windows. I run it like this:
vc_build.cmd -d -i
-d is for debug-build, you can leave it out if you don't need to debug OpenSSL
-i is for installation. It will default installing it under C:\OpenSSL\openssl-version
Many thanks to www.MrRives.com that provided the original version of the script.