The Windows binary version of web2py (i.e., web2py.exe) includes its own Python interpreter and standard library, so when you run it, you are not using the Python installed on your system. Apparently the Python 2.7.10 you have installed on your system does not include the SSL module.
Note, in general, if you have Python installed on your system, there is no particular reason to run the binary version of web2py -- just run from source.
Also, for future reference, when having a problem (particularly something that seems related to the Python installation), it is a good idea to report your OS and the version of web2py (i.e., source vs. binary).
Anthony