It is easy to install openssl package into msys if you use openssl-msys release.
Download 5 files from http://sourceforge.net/projects/mingw/files/
libopenssl-0.9.8k-1-msys-1.0.11-dev.tar.lzma | 952.5 KiB | Sat Aug 08 2009 15:29 | 589 | Release Notes | |
libopenssl-0.9.8k-1-msys-1.0.11-dll-098.tar.lzma | 548.7 KiB | Sat Aug 08 2009 15:29 | 690 | Release Notes | |
openssl-0.9.8k-1-msys-1.0.11-bin.tar.lzma | 160.5 KiB | Sat Aug 08 2009 15:29 | 663 | Release Notes | |
openssl-0.9.8k-1-msys-1.0.11-doc.tar.lzma | 212.1 KiB | Sat Aug 08 2009 15:30 | 219 | Release Notes | |
openssl-0.9.8k-1-msys-1.0.11-lic.tar.lzma | 2.1 KiB | Sat Aug 08 2009 15:30 | 156 |
and use 7-zip extract files to c:/msys/1.0.