First off all which kind of customization you wants ,please be clear.
1.I downloaded the latest snapshot from here, I believe this is the code I am supposed to "customize" right?
So latest code is here http://openbsd.org.ar/pub/OpenBSD/OpenSSH/portable/openssh-6.4p1.tar.gz
2.For confirmation: Can I "customize" these codes in Windows?
You can but compilation is easy in linux so please modify and compile your code in any linux machine, refer this link for compiling and configuring openSSH http://www.linuxfromscratch.org/blfs/view/svn/postlfs/openssh.html
3.Is OpenSSH a "library" that I need to call externally from codes I'll be writing or the "program" itself that I need to edit?
OpenSSH is not a library its a ssh server and client programs which runs on linux.