I don't know about documented.
If you want to compile the apps/* code in VS, I think you need to
do the whole directory; openssl.c is just a dispatcher that calls
the other 'commands'. If you're using dynamic, I think you need
(a copy of?) ms\applink.c also. But remember the 'apps' mostly just
wrap the -lcrypto and/or -lssl routines, so if you need to look at
much of what is going on, you'll probably need to debug them too.
Unless you only want to look at API-level results.
The last time I did this, 0.9.8g on VC++6.0 (yes, a while ago),
I did commandline (nmake) build of everything including apps,
except I manually added /Zi /Yd to cflags in nt*.mak (they used to
be in util/pl/VC-32.pl but seem to have gotten lost somewhere);
then I created a VS console-exe project with nothing in it, but
in ProjectSettings Debug specified my executable (from the dir
which also contains the .pdb, and the .dll and .pdb if not static).
I could break/step/display fine, but go-to-defn etc. didn't work.
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Go-to-def (mostly) doesn't use the debug symbols, it uses the separate
but similar "browse info" which normally VS/VC++ arranges to be created.
Each foo.C/CPP file gets a foo.SBR along with its foo.OBJ, and those get
combined into a project.BSC, which I'm pretty sure is what gets used.
I experimented with this some in the past and I *think* it is possible to
make it work for a manual build, but it was never worth the trouble to me.
If you want to pursue this, look for "browse". Good luck.