When you download the nmake15.exe, you must run it: it will create three other files (nmake.exe, nmake.err and a third unimportant read-me type file). Put nmake.exe and nmake.err somewhere in your path.

Then you must edit the config.pm file in perl/lib/CPAN so that the Config-hash has something like 'make' => q[C:\WINDOWS\system32\nmake.exe], (of course you would edit that to show where your nmake.exe is). I'm not entirely sure, but I think that when you put the full path to nmake.exe in the hash, nmake.exe does not have to be in your path. If you like to live dangerously, you can just put 'make' => q[nmake.exe], in the Config-hash.