The answe is, "Don't use make."
make from Cygwin does not compile ActiveState modules properly (although you can hack the Makefiles to use it.) I use Microsoft's nmake, which works fine.
I never can remember where it is on their ftp server, but a search on, say, google should find you a link for it.
But, yes, if at all possible, use PPM. It's much simpler, and it keeps a database of what you have, so it's easy to update.
----Asim, known to some as Woodrow.