You can put them in the same directory as the application, or a sub directory
Yes, that is best. Or in any other folder that your app has control over.
I would recommend to build in a check if in the official windows directories for libraries a version is already available and if not put them there..
Unlike other platforms, Windows does not ship with OpenSSL pre-installed. And manually putting OpenSSL libraries (or any third-party libraries, for that matter) into the system folders would be a big mistake. Microsoft really discourages that.