I've just checked out the script; it seems OK, and works for me (well, barring the various key validation warnings - but no compilation failures.) A quick chase down the stack shows that the call to 'ENGINE_load' comes from the binary SSLeay.so file in /usr/lib/perl5/auto/Net/SSLeay (at least that's where it is on my system).

Take a look at your file structure and see if you can locate this file (maybe by using 'find'), then check to make sure that the path to the top-level module directory (in my case, that would be /usr/lib/perl5) is included in your @INC. If it's not, that's the problem; read up on the PERL5LIB variable for one of the ways to fix it. If you don't find the file, that's a different problem: possibly an incorrect module installation or a missing SSL library.

-- 
I hate storms, but calms undermine my spirits.
 -- Bernard Moitessier, "The Long Way"