If anyone gets their hands on RedHat 9 and then tries to compile Nessus 2.0.3, it wil fail. After panning through the output, I saw that OpenSSL had thrown a fit. I submitted an e-mail to the nessus mailing list and Renaud told me that indeed the distro of openssl from RH is busted up.

I found a fix for this problem.

To solve this issue:
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Download openssl-0.9.7a from ftp.openssl.org
Untar and copy the contents from: /openssl-0.9.7a/include/openssl To /usr/include/openssl
Compile nessus and all is well.

Hope this helps out!