What distribution (ActivePerl, Strawberry Perl, etc) and version/build (5.12, 5.14) of Perl are you using? Also, are you using 32-bit or 64-bit Perl?

For Strawberry Perl, it already comes with MinGW and related tools needed to build modules. For 32-bit ActivePerl, you should be able to install MinGW and dmake from ActiveState's repository. I'm not familiar with all of the details, but there's more steps involved with 64-bit ActivePerl.