OpenSSL has internal defaults for a directory tree where it can find a configuration file as well as certificates used for verification in TLS. This directory is most commonly referred to as OPENSSLDIR, and is configurable with the --prefix / --openssldir configuration options. For OpenSSL versions 1.1.0 and 1.1.1, the mingw configuration targets assume that resulting programs and libraries are installed in a Unix-like environment and the default prefix for program installation as well as for OPENSSLDIR should be '/usr/local'. However, mingw programs are Windows programs, and as such, find themselves looking at sub-directories of 'C:/usr/local', which may be world writable, which enables untrusted users to modify OpenSSL's default configuration, insert CA certificates, modify (or even replace) existing engine modules, etc.
A vulnerability in the London Trust Media Private Internet Access (PIA) VPN Client 1.0.2 (build 02363) for Windows could allow an authenticated, local attacker to run arbitrary code with elevated privilege.