I readily admit that I am not a heavy developer, otw I probably wouldn't have this problem, but here it is. I cannot get openssl to compile under Windows.

Mingw/msys is installed ok. Downloaded then unpacked openssl under my mingw home dir. So far ok. cd to openssl-1.0.0a
Executed ./config no-shared --prefix=$HOME/openssl ok. It completed with Configured for mingw.

Tried make install_sw and it gives me this error:
make[1]: Entering directory `/home/wayne/openssl-1.0.0a/apps'
installing openssl.exe
cp: cannot stat `openssl.exe': No such file or directory

Any idea what is going on here? TIA.

You will probably have to ask whoever you got that library from.