I'm running Windows 7, with MSys 1.0.11 and MinGW 5.1.6.  I'm attempting to
build OpenSSL 0.9.8m, but it's failing.

I started by untarring openssl-0.9.8m.tar.gz:
tar -xzf openssl-0.9.8m.tar.gz

This causes a ton of warnings about inability to create symlinks.

Trying anyway, I enter the new directory, and call:
./config
make

This dies with an error that doesn't appear to be related to the missing
symlinks:
 make[1]: Entering directory `/d/Projects/unused/openssl-0.9.8m/crypto'
make[1]: *** No rule to make target `../include/openssl/bio.h', needed by
`crypt
lib.o'.  Stop.
make[1]: Leaving directory `/d/Projects/unused/openssl-0.9.8m/crypto'
make: *** [build_crypto] Error 1

 Is there a general procedure for compiling with MSys/Mingw?

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