You should set the $RANDFILE environment variable and/or create $HOME/.rnd file. (OpenSSL FAQ). (Of course, you should have rights to that file. Others answers here are about that. But first you should have the file and a reference to it.)
Up to version 0.9.6 OpenSSL wrote the seeding file in the current directory in the file ".rnd". At version 0.9.6a you have no default seeding file. OpenSSL 0.9.6b and later will behave similarly to 0.9.6a, but will use a default of "C:\" for HOME on Windows systems if the environment variable has not been set.
If the default seeding file does not exist or is too short, the "PRNG not seeded" error message may occur.
The $RANDFILE environment variable and $HOME/.rnd are only used by the OpenSSL command line tools. Applications using the OpenSSL library provide their own configuration options to specify the entropy source, please check out the documentation coming the with application.