OK, problem solved.
Sir Rufo, it was a good idea but it did not help, but thanks for trying.
I had copied the ssleay32.dll into the new app folder BEFORE I started compiling. It did not work. I did a full Build and it still did not work.
I decided to delete the ssleay32.dll and libeay32.dll and do a full Build. I ran it and of course it crashed, but this time I expected that.
I then copied the two .ddl back into the new app folder and did another full Build.
Bingo problem solved. Seems weird but it is working with both Lazarus and D5. Something to do with the way the .dll gets linked into compiled .dcu.
Doing the Build with no .dll available cleared that. Dropping the .dll back into the Folder and another Build got the .dll linking correctly included into the .dcu.
Aaarrggghhhhh :)