use $(CURDIR) instead of "..\..\.." because the later does not allow to use options as --with-zlib=../zlib-1.2.3. It seems there is no common way to learn the current directory in Win32 make's: although nmake has MAKEDIR variable, nevertheless Borland make's MAKEDIR is the directory where make is installed, and OpenWatcom wmake has no MAKEDIR at all.

--- a/auto/lib/openssl/make
+++ b/auto/lib/openssl/make
@@ -22,7 +22,7 @@ case "$CC" in
 	perl Configure VC-WIN32 no-shared
 	ms\\do_ms
 	\$(MAKE) -f ms\\nt.mak
-	cd ..\\..\\..
+	cd \$(CURDIR)
 
 END
 
@@ -39,7 +39,7 @@ END
 	perl Configure BC-32 no-shared
 	ms\\do_nasm
 	\$(MAKE) -f ms\\bcb.mak
-	cd ..\\..\\..
+	cd \$(CURDIR)
 
 END