If you need to build the OpenSSL library for yourself, EG you're porting an application that requires SSL or other cryptography functions provided by it, all you need to do is the following.
tar xzf openssl-0.9.6.tar.gz
tarmakes in place of symlinks
patch -p0 < openssl-emx.patch
os2\emx.cmdto generate the makefiles. Note that this requires that you have a PERL interpreter installed.
make -f emx.mak
The OpenSSL developers have commited my patches to the 0.9.7 source which allows it to build "out of the box" on OS/2. The source includes the file "INSTALL.OS2" which provides build instructions. However, this only supports EMX GCC.