On Windows you can also set the environment property OPENSSL_CONF. For example from the commandline you can type:

set OPENSSL_CONF=c:/libs/openssl-0.9.8k/openssl.cnf

to validate it you can type:

echo %OPENSSL_CONF%

You can also set it as part of the computer's environmental variables so all users and services have it available by default. See, for example, Environment variables in Windows NT and How To Manage Environment Variables in Windows XP.

Now you can run openssl commands without having to pass the config location parameter.