WriteMakefile(
    NAME                => 'Parrot::Interp',
...
    LIBS                => [''], # e.g., '-lm',
    DEFINE              => '', # e.g., '-DHAVE_SOMETHING',
    INC                 => '-I../../include',
    OBJECT              => '../../libparrot.lib'
);
[download]

That OBJECT line doesn't look right. I think that the libparrot.lib file should go in the LIBS line somehow (although as this is Win32 I'm somewhat out of my depth here :-).

If you have to specify the OBJECT key it needs to include the .obj that will get created from the .xs file. Right now you are telling the makefile builder to ignore any .obj files and only use ../../libparrot.lib.

Michael