cpanm --look Compress::Stream::Zstd
:: You are now in the build dir

:: This next line prints the location of the Alien::Zstd files, under which will be libzstd.a
perl -MAlien::Zstd -E"say Alien::Zstd->dist_dir"

:: assuming it is in the dir you noted in your post the line would be 
copy c:/Strawberry/perl/site/lib/auto/share/dist/Alien-zstd/lib/libzstd.a ext\zstd\lib

:: (One could also use File::Copy to use perl to find and copy the file in one step)

:: build, test, install
perl .\Build.PL && build && build test && build install

:: back to your previous shell
exit