After following the instructions in INSTALL.W64 I have two problems:
You can also use MSYS+mingw-w64:
1) download and extract msys to C:\msys
2) download and extract mingw-w64 to c:\mingw64
3) run msys postinstall script. When it asks for your mingw installation, point it to C:\mingw64\bin
4) Extract an openssl daily snapshot (1.0.0 release has a bug). In the source dir run
configure mingw64
make
make check
make install
5) openssl is installed to /local/