So where/how do you find the artifacts after a build?

There is an undocumented curl tool switch for Windows to get all the module paths --dump-module-paths so to figure out which OpenSSL dependencies to make artifacts you could do curl --dump-module-paths | grep -iv "^C:\\Windows\\\\"

@bagder sorry for late response, I didn't notice your comment.

You have to select a particular build job from the matrix, e.g. https://ci.appveyor.com/project/curlorg/curl/builds/28233363/job/haokjn1m953utws3

then switch to 'artifacts' tab

There's more documentation available here: https://www.appveyor.com/docs/packaging-artifacts/#permalink-to-the-last-successful-build-artifact

In particular you can offer CI builds using the permalink constructed as described in the link.

Thanks!