It says https://github.com/joyent/node/wiki/Building-node.js-on-Cygwin-(Windows )
for installation
devel → openssl libs → openssl-devel
But loading the latest cygwin, I can only see libs -> openssl-devel, so where is openssl?
You can find both of these packages by simply typing openssl in the search box at the top left in the setup.exe file.
openssl
1- Uncheck the "Absolute packages."
2- Check if it is installed on your cygwin path.