Have a look at www.mqseries.net in the API support section - you'll see a thread I started about MQ,Perl and AIX that might help you.
As for Windows, I don't know which bits to compile, whether they should be expressed as a dll or an exe, etc etc. Just a big 'don't know', really...
Surely someone out there has managed this? If I find the secret I'll certainly post it here!
Cheers - Cliff