Becasue of the HTTPS in the URL?

Yes.

How does it know how to find my openSSL DDL files?

It requires the respective SSL module when needed (see LWP::Protocol::https10 for details). The XS part of the module (the .dll) subsequently loads the other 3rd-party DLLs it depends on according to how it has been linked. How exactly this happens is more a question of the dynamic linker of the OS  (Windows isn't my field of expertise, so I can't tell you the details...)