Openssl-sys on rust 32 bit msvc: Does it work?

Hm, I never used MSVC to build hyper, but, as per above error, does your downloaded openssl distribution actually comes with header files (e.g. C:\OpenSSL-Win32\include\openssl\hmac.h is present)?

As for your build with mingw-w64 win32, for some reason your target triple ends in -msvc instead of -gnu as it should be. See explanation here, also see my answer here if you would like to use MSYS2.