Are you using ActiveState perl? I bet what happened is that you got an error during "Determining minimum pointer alignment", right? What is happening is that ActiveState Perl was built using Visual C++, and so the configure information doesn't match what is needed for BCC. This is a problem, since parrot's configure pulls a ton of info from perl's configure information. You have 2 choices:
First, uninstall ActiveState perl. Then make Perl from scratch using BCC, and then make parrot.
Install cygwin, including installing perl 5.6.1 (I had problems with 5.8.0, for some reason) and gcc. This way, your configure information for perl will match when you make parrot from inside cygwin. This second method has the added bonus in that it won't muck with your ActiveState settings.