Under WinXP (where I developed the module), I use an ActiveState distribution. I installed IO::Socket::SSL and Net::SSLeay from the http://theoryx5.uwinnipeg.ca/ppms/ repository.
I know for sure that Net::SSLeay needs two libraries for run: ssleay32.dll & libeay32.dll.
On Mac Os X (where I code at home) I don't remember how I did it at the moment! :D

HTH,