Your problem appears to be described in this line:

Note (probably harmless): No library found for '-lbz2'
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This error is not harmless in this case. It means that MakeMaker has failed to find the DLL for bzip2. You should be able to fix this by changing Makefile.PL from having something like:

  LIBS => "-lbz2",
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To something specifying the full path to the bz2 DLL like:

  LIBS => '-LC:\some\directory -lbz2'
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And I think that'll fix your problem. If it doesn't work, you should try to, at least, see if you can tweak the Makefile.PL until you get no warning like that.