I had problems with the MinGW installer you pointed to (5.0.3); but the latest one (5.1.3) worked o.k.
I encountered an error whilst dmaking a certain module:
(This call is generated by perl Makefile.PL.) The solution is to delete or rename Perl\site\lib\ActivePerl out of the way. The one in Perl\lib is newer, but isn't found due to the order of entries in @INC. (I hit this problem in ActiveState build 819.)Undefined subroutine &main::UpdateHTML_blib called at -e line 1.
There was another error (or warning): the generated Makefiles call false at least once, but the MinGW installation doesn't include this executable. However, this error can be ignored, AFAICT.
Also, heed the admonition to run dmake -S -S if you receive it.
I think it would helpful if you'd mention what values you put in dmake's config.mk file (or any other files), since the dmake documentation doesn't really provide any guidance. I used the following, but I'm really not sure if/why it works:
OS *:= winnt OSRELEASE *:= mingw OSENVIRONMENT *:= gcc