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I finally made it, I installed OpenSSL 3.2.0-dev on Windows 11.
These are the detailed steps so that anyone in the future can do it:
I ended up using the first method, with C++, as seen here: https://github.com/openssl/openssl/blob/master/NOTES-WINDOWS.md#quick-start
Here are the instructions, I tried to make them as detailed as possible, let me know if it needs changes or fixes:
First steps: Installing the necessary software:
Step 1: Install Perl - Install the Strawberry version, much easier to install and it installs everything and also adds them automatically to the Windows PATH variables
Step 2: Install NASM, and add it to the Windows system (or your user's) PATH variables. I ended up adding it only to my user's variables PATH: C:\Users\<username>\AppData\Local\bin\NASM
Step 3: Install Visual Studio (I have Visual Studio Community 2022), and install the Desktop development with c++. I ended up choosing the following packages(I'm sure not all are necessary, but if you know, please let me know which ones are the ones I need so that I'll update the photo to avoid installing too many packages):

Step 4: Download and install the Build Tools for Visual Studio (I assume in the future this link will change so look for the Build Tools installation link for your Visual Studio version): https://visualstudio.microsoft.com/downloads/#build-tools-for-visual-studio-2022
Step 5: After installing the build tools, launch the Visual Studio installer. In the installer, you will now see the Build Tools. Click on "Modify" under the Visual Studio Build Tools:

And then install the needed packages for the OpenSSL installation, it's what's going to install nmake:

Then, the build and installation steps:
Step 6: Clone the openssl repository to some folder on your PC (I cloned it in C:/ so I ended up having C:/openssl/), and fix the line endings by running the following commands:
> git clone git://git.openssl.org/openssl.git
> cd openssl
> git config core.autocrlf false
> git config core.eol lf
> git checkout .
Update: If you want another version, clone the repository without checking out, fix the line-endings and then checkout to the version you want. For example if you want 3.1.0 stable (Note the -n flag for no-checkout):
> git clone -n git://git.openssl.org/openssl.git
> cd openssl
> git config core.autocrlf false
> git config core.eol lf
> git checkout openssl-3.1.0
Step 7: In Windows Search, search for "Developer Command Prompt for VS 2022" (Or any of your versions), and run it as administrator:

Which will open this command window:

Step 8: You need to set the right environment for the version of OpenSSL you want to install, otherwise build will fail. In my case, I wanted to install OpenSSL for 64-bit systems, copy-paste the following (including the quotes, and change the path according to your Visual Studio installation path):
"C:\Program Files\Microsoft Visual Studio\2022\Community\VC\Auxiliary\Build\vcvars64.bat"
which will then set the environment, as seen here:

Step 9: From the same Developer Command Prompt, cd into the folder you cloned the openssl source code, in my case it was C:/openssl, and then follow the steps from the OpenSSL guide:
> perl Configure VC-WIN64A
> nmake
> nmake test
> nmake install
Note that these steps take time, it took me around 20-30 minutes to finish all these 4 commands
Step 10: That's it! It's installed! You can find the OpenSSL executable (openssl.exe) at C:\openssl\apps. (And add it to Windows system or user's PATH variables if you want)
In my case when I run openssl version I see OpenSSL 3.2.0-dev (Library: OpenSSL 3.2.0-dev )
If you have Git installed in your local, open git bash, and use the command openssl. It should work