Duh - missed that. I thought the problem was with Net::SSLeay, but it's IO::Socket::SSL that's causing the problem, isn't it. (Can't reproduce that problem with IO::Socket::SSL on my Win32 x86 perl-5.10.1 - but I'm using a mingw-built perl with a static openssl-0.9.8n library, built using the same compiler.)
How about using Strawberry Perl - which comes with both Net::SSLeay and IO::Socket::SSL already installed ? The latest strawberry-5.12.0 has versions 1.36 and 1.33 respectively - plus it gives you the (gcc) compiler so that you can update these modules (and build other extensions) as you want.