OpenSSL still has classic MacOS code in its tree. The original author did his work with CW Pro 5, so it may take a bit of work to get it to work with CW Pro 1. I was able to make 0.9.6m build and work with CW Pro 7.1 but it took updating the project file to add and remove files that had changed since the project file was created.
I wanted to build newer versions but ran out of time. IIRC whatever the latest 0.9.5 revision is compiled fairly easily. One note, though: I had tons of problems at first that turned out to be because StuffIt was messing up the CR/LF conversions when extracting the tar file. Using SUNtar it compiled almost out of the box.