Building GD requires compiling C to create DLL libraries and is probably not something you are prepared to do. There's more than just pure Perl code involved.

What ActivePerl are you running? When I run ppm on my 6xx version (Perl 5.6.x) I see a GD 2.06 listed from ActiveState.   However I also see another newer GD version (2.07) listed at another PPM repository that I use, Randy Kobe's.

To use Randy's ready-made module, if you are running a 6xx ActivePerl then while in ppm type in
    set repository RK http://theoryx5.uwinnipeg.ca/cgi-bin/ppmserver?urn:/PPMServer
and then search for GD.   You ought to see it listed now.

Hey, I found a reference to how to install it from there in one command:
    ppm install http://theoryx5.uwinnipeg.ca/ppmpackages/GD.ppd

If you are running a 8xx ActivePerl I found a reference to using
    set repository RK http://theoryx5.uwinnipeg.ca/cgi-bin/ppmserver?urn:/PPMServer58
to access Randy's Perl 5.8 modules.   The matching single command should be (untested)
    ppm install http://theoryx5.uwinnipeg.ca/ppms/GD.ppd