What does a,b,c,d mean?
Which one to download?

The letters are release updates for each minor release. If you don't have an openssl version to update, I would simply go with the highest available, 1.1.1d. As time goes, you will probably see 1.1.1e, 1.1.1f and so on, and can simply update your installation with those as they appear.
Did that clarify things?
Do note that with upcoming 3.0, we're changing our versioning scheme, and the update releases (some call them patch releases) will be 3.0.1, 3.0.2 and so on.
Thanks for your answer, now it's clear.
Most helpful comment
The letters are release updates for each minor release. If you don't have an openssl version to update, I would simply go with the highest available, 1.1.1d. As time goes, you will probably see 1.1.1e, 1.1.1f and so on, and can simply update your installation with those as they appear.
Did that clarify things?