Taken from OpenSSL_1_0_0-stable:

Include proper header files for time functions.
Submitted by Arpadffy Zoltan <Zoltan.Arpadffy@scientificgames.se>
diff --git a/ssl/d1_lib.c b/ssl/d1_lib.c
index c2867c9..96b220e 100644
--- a/ssl/d1_lib.c
+++ b/ssl/d1_lib.c
@@ -62,7 +62,7 @@
 #include <openssl/objects.h>
 #include "ssl_locl.h"
 
-#ifdef OPENSSL_SYS_WIN32
+#if defined(OPENSSL_SYS_WIN32) || defined(OPENSSL_SYS_VMS)
 #include <sys/timeb.h>
 #endif
 
diff --git a/ssl/dtls1.h b/ssl/dtls1.h
index 448c254..f85acf5 100644
--- a/ssl/dtls1.h
+++ b/ssl/dtls1.h
@@ -68,6 +68,10 @@
 
 #include <openssl/buffer.h>
 #include <openssl/pqueue.h>
+#ifdef OPENSSL_SYS_VMS
+#include <resource.h>
+#include <sys/timeb.h>
+#endif
 #ifdef OPENSSL_SYS_WIN32
 /* Needed for struct timeval */
 #include <winsock.h>