From a Full time Windows SysAdmin and a Perl Hacker (Mostly on unix):
First, make sure you have libgdk.dll somewhere on your system. Use the windows search functionallity to search for it. If you don't have it, your missing part of GIMP to make it work on windows. If you do, its not in the search path. You can either copy it to c:\winnt (or whatever your windows directory is, or c:\winnt\system32\) or copy it to the same directory as the EXE.
Also, you may want to right click on the gimp icon you use to run GIMP, click properties. That way you can see what command it is actually running, and also from which directory it starts from....
-Tripp