But the infamous DLL hell starts as soon as I want to add some XS modules to it as Windows knowns nothing about standard libs like libxml, libintl, libzlib, libiconv and so on...

... which is why strawberry's portable zip comes so highly recommended: it includes the gcc toolchain appropriate for that version of perl, which does know about standard libs, and has those libraries in appropriate locations, so most XS modules "just install" without difficulty. Save yourself some pain: bundling portable strawberry, or having your install script just download the portable strawberry zip and unzipping it to the appropriate location, will be much simpler for you. :-)