Then I download from another website a windows64 version of OpenSSL. It only comprise an exe file and some libs, very small. I set its path(ie. exe file path) to OPENSSL_PREFIX env as the CPAN error message mentioned and close the cmd.exe, reopen and repeat the CPAN install command, but the error still there....

How did you set OPENSSL_PREFIX, what commands did you use?

why Net::SSLeay so hard to install?

It really isn't that hard, even comes detailed directions, you're simply computer challenged