To automate the building of OpenSSL 0.9.8e with MSVC 6.0 or later, using Cygwin, I created the makefile openssl.mak.

To build OpenSSL, simply type:

$ make -f openssl.mak

Of course, to run make, you will need to install Cygwin and select the make and wget packages. Alternatively, you could unzip cygwin-1.5.23.zip, which contains only the executables needed to run make.

The binaries are available in openssl-0.9.8e.zip.