Download source files from official OpenSSL site. I follow the INSTALL.M32 file in OpenSSL folder. I open msys.bat, go to the OpenSSL folder, then type
$ ./config
It says “Configured for MinGW”, than I type
$ make
and after few minutes receive error:
md2test.c:1:10: error: expected '=', ',', ';', 'asm' or '__attribute__' before '.' token
In my case the problem was that few test files (3 as far as I remember) had instead of C++-code the name of file (something like dummitest.c). I copy-paste the right code to that files from files from other folder, but with the same name, and everything went fine.