Conan cannot find a certain package for the specified settings, options and dependencies

I am working on a small C executable project using Jetbrains CLion 2019.3, MinGW 8.1, and also the Conan C/C++ Package Manager 1.21.1. I am refreshing my knowledge about C and want to learn about new tools like Conan. My main development environment is Windows, but this project is intended to be cross-platform; I would like to be able to build and run the application on Linux/Unix as well.

Since my application needs to compute signatures using HMACSHA1, I want to use the OpenSSL library, so I added the OpenSSL/1.1.1a@conan/stable package to the requires section of my conanfile.txt file, and I also created a Conan profile for MinGW that has the following options:

toolchain=$MINGW64_PATH
target_host=x86_64-w64-mingw32
cc_compiler=gcc
cxx_compiler=g++

[env]
CONAN_CMAKE_FIND_ROOT_PATH=$toolchain
CHOST=$target_host
AR=$target_host-ar
AS=$target_host-as
RANLIB=$target_host-ranlib
CC=$target_host-$cc_compiler
CXX=$target_host-$cxx_compiler
STRIP=$target_host-strip
RC=$target_host-windres

[settings]
os_build=Windows
arch_build=x86_64

# We are cross-building to Windows
os=Windows
arch=x86_64
compiler=gcc

# Adjust to the gcc version of your MinGW package
compiler.version=8.1
compiler.libcxx=libstdc++11
build_type=Release

The MINGW64_PATH points to my MinGW installation folder.

When running conan install it complains about a missing package (obviously a dependency package of OpenSSL) that does not exist:

zlib/1.2.11@conan/stable: WARN: Can't find a 'zlib/1.2.11@conan/stable' package for the specified settings, options and dependencies:
- Settings: arch=x86_64, build_type=Release, compiler=gcc, compiler.version=8.1, os=Windows
- Options: minizip=False, shared=False
- Dependencies: 
- Package ID: eb34f13b437ddfd63abb1f884c4b8886c48b74cd

ERROR: Missing prebuilt package for 'zlib/1.2.11@conan/stable'
Try to build it from sources with "--build zlib"
Or read "http://docs.conan.io/en/latest/faq/troubleshooting.html#error-missing-prebuilt-package"

Since I am a noob using Conan, I have no clue how I can fix this problem. What needs to be done to fix this issue, and also can I fix this on my own, or do I need help from the package author?

I found a description of the Missing prebuilt package error at https://docs.conan.io/en/latest/faq/troubleshooting.html#error-missing-prebuilt-package, but it does not help much.