This is usually because you've missed the comment in INSTALL.W32. Your application must link against the same version of the Win32 C-Runtime against which your openssl libraries were linked. The default version for OpenSSL is /MD - "Multithreaded DLL".

If you are using Microsoft Visual C++'s IDE (Visual Studio), in many cases, your new project most likely defaulted to "Debug Singlethreaded" - /ML. This is NOT interchangeable with /MD and your program will crash, typically on the first BIO related read or write operation.

For each of the six possible link stage configurations within Win32, your application must link against the same by which OpenSSL was built. If you are using MS Visual C++ (Studio) this can be changed by:

1. Select Settings... from the Project Menu. 

2. Select the C/C++ Tab. 

3. Select "Code Generation from the "Category" drop down list box 

4. Select the Appropriate library (see table below) from the "Use run-time library" drop down list box. Perform this step for both your debug and release versions of your application (look at the top left of the settings panel to change between the two) 
Single Threaded /ML - MS VC++ often defaults to this for the release version of a new project. Debug Single Threaded /MLd - MS VC++ often defaults to this for the debug version of a new project. Multithreaded /MT Debug Multithreaded /MTd Multithreaded DLL /MD - OpenSSL defaults to this. Debug Multithreaded DLL /MDd 

As per 0.9.8 the above limitation is eliminated for .DLLs. OpenSSL .DLLs compiled with some specific run-time option [we insist on the default /MD] can be deployed with application compiled with different option or even different compiler. But there is a catch! Instead of re-compiling OpenSSL toolkit, as you would have to with prior versions, you have to compile small C snippet with compiler and/or options of your choice. The snippet gets installed as <install-root>/include/openssl/applink.c and should be either added to your application project or simply #include-d in one [and only one] of your application source files. Failure to link this shim module into your application manifests itself as fatal "no OPENSSL_Applink" run-time error. An explicit reminder is due that in this situation [mixing compiler options] it is as important to add CRYPTO_malloc_init prior first call to OpenSSL.