My openSSL is installed in c:\OpenSSL, so would I write set OpenSSL_HOME=C:\ OpenSSL?
Yes, but without the space after C:\:
set OpenSSL_HOME=C:\OpenSSL
Do I enter such command in Command Prompt?
You can. Do note, however, that with this approach, you would be modifying the OpenSSL_HOME environment variable for that particular command window only, and it would be accessible only to processes that are run from that same window. As soon as you close the window, your variable disappears.
If you need to make it persistent, especially through reboots, you have to configure the OS's global environment instead. On Windows, right-click on My Computer, go to Properties, Advanced system settings, Environment Variables, and add a new entry for your variable.
My %Path% here would be what?
That is an existing environment variable. You are modifying the existing Path, so by including %Path% to the end of your assignment, you preserve the existing Path so that existing paths can still be accessed.
Fir, note that the example in the documentation is wrong. It should be this instead:
c:\ set Path=%OpenSSL_HOME%\bin;%Path%
With that said, lets say for example that Path already contains a value of C:\Windows\;etc. After the assignment, the new Path will be C:\OpenSSL\bin;C:\Windows\;etc