I've downloaded and extracted openssh4.1 on solaris 10. When I run the install-sh, it replied with "./install-sh: no input file specified". The file is executable and been move to owner root or the rest of the files.
When you are done building and installing openssh, you'll either need to disable the standard Solaris one and add start/stop scripts to your own or better, you may want just to update the /lib/svc/method/sshd script to point to your own version.
Alternatively, you can just drop the idea of building openssh yourself and simply keep your system up to date with security patches.