They have also uploaded an official "additional libraries for puppy" at http://www.slimboat.com/en/dlpage.php .
I've just tried it and it works perfectly under precise puppy 5.4.3. Maybe someone else can try it on the other puppies.
jrb wrote: Did you find anything in /etc/ssl/certs in Ubuntu? I'm afraid I don't really understand the ssl system. Maybe someone with more knowledge could help out? Might have to post it as a new thread in the Users forum.