So? OpenSSL is not installed, has the wrong bitness (32 or 64) or is not correctly installed.
For 32 bit programs you need 32 bit OpenSSL binaries
For 64 bit programs you need 64 bit OpenSSL binaries
And your program needs to be able to find them.
OpenSSL as such is not part of Indy, although the official Indy website does provide OpenSSL binaries in both 32 and 64 bit flavors for your convenience.