I haven't worked with Shining Light, but the defaults of the build system for regular OpenSSL on Windows go either pure dynamic or pure static. It doesn't mix.
The option is right at the top of nt.mak and ntdll.mak so it'd be easy to experiment with. I use this website to help me understand how to configure and compile regular OpenSSL. If you try it, two notes are that it's nasm instead of masm and you can also configure for "debug-VC-WIN32"http://www.ski-epic.com/2007_notes_on_openssl/index.html