|Don't ask to ask, just ask|
Might regret this, but I'll go ahead in case I might learn something in the process.
From the OP: Any monks ever build openssh (the whole enchilada)...
From your post: obviously it is to install the latest libssh2...
Aren't libssh2 and openssh two different things that can be used to accomplish similar tasks? Also, if a person has one of the two properly built/installed, would it be a reasonable assumption that he/she can use that for most SSH related tasks without "needing" the other?
Not being very familiar with libssh2 and openssh, the biggest difference that jumps out at me is that libssh2 only supports SSH version 2 protocol and it looks like openssh supports SSH versions 1 & 2 protocols.
In any case, unless you are nmork and didn't log in before responding, I don't think the OP gave us enough info to say for sure why he/she is trying to build openssh on Windows. Is it to see if they can get it to build and work? Are they needing SSH version 1 protocol support? Are they wanting/needing modules the use openssh (such as Net::OpenSSH)? Other reasons? Can't speak for anyone else, but my mind-reading skills are non-existent.
Anyways, my intent was to point out a possible alternative that might work for the OP.
In reply to Re^3: openssh build with Strawberry Perl provided gcc