As of 15 Jun 2015, Apply no longer ships OpenSSL with OS X:
(http://lists.apple.com/archives/macnetworkprog/2015/Jun/msg00025.html)

Some OS X packages and bundles install OpenSSL, typically in /opt/local
if that is the case it is sufficient for you to unpack and build
Net-SSLeay in the usual way:

#cd to a working directory
cd /Users/mikem/tmp/
# unpack net-ssleay from wherever you got it:
tar zxvf /Volumes/projects/net-ssleay/trunk/Net-SSLeay-1.72.tar.gz
cd Net-SSLeay-1.72
# Build it for 64 bits (default)
perl Makefile.PL
make
make test
# as root, install the compiled Net-SSLeay:
make install

If a working openssl is not installed already the above will fail, 
but you can still build your own OpenSSL to link against:
(https://wiki.openssl.org/index.php/Compilation_and_Installation), and build Net-SSLeay against it:
Test compilation etc in a private directory eg:

#cd to a working directory
cd /Users/mikem/tmp/
wd=`pwd`
# unpack openssl from wherever you got it:
tar zxvf /Volumes/src/openssl-1.0.2c.tar.gz
cd openssl-1.0.2c
# Build for 64 bits and install it in a local directory
darwin64-x86_64-cc shared enable-ec_nistp_64_gcc_128 no-ssl2 no-ssl3 no-comp --prefix=$wd/openssl
make
make install_sw
cd $wd
# unpack net-ssleay from wherever you got it:
tar zxvf /Volumes/projects/net-ssleay/trunk/Net-SSLeay-1.72.tar.gz
cd Net-SSLeay-1.72
# Build it for 64 bits (default)
OPENSSL_PREFIX=$wd/openssl perl Makefile.PL
make test
# You should see successful test run data and "Result: PASS"

Real installation of OpenSSL and Net-SSLeay to public areas eg:

#cd to a working directory
cd /Users/mikem/tmp/
wd=`pwd`
# unpack openssl from wherever you got it:
tar zxvf /Volumes/src/openssl-1.0.2c.tar.gz
cd openssl-1.0.2c
# Build for 64 bits and install it in a local directory
darwin64-x86_64-cc shared enable-ec_nistp_64_gcc_128 no-ssl2 no-ssl3 no-comp
make
sudo make install_sw
cd $wd
# unpack net-ssleay from wherever you got it:
tar zxvf /Volumes/projects/net-ssleay/trunk/Net-SSLeay-1.72.tar.gz
cd Net-SSLeay-1.72
# Build it for 64 bits (default)
perl Makefile.PL
make test
# You should see successful test run data and "Result: PASS"
# Install it, typically to /Library/Perl/5.18 or whereever
sudo make install