I upgraded ExitUtils::MakeMaker from 6.17 to 6.25. Then I tried making it again. I got a different error that time, but it still did not make. The file was stored in C:\My Documents (a path with spaces in it). I moved it to C:\Pugs (a path without spaces in it) and tried making it one more time. It worked!
Note to everyone making Pugs on Windows: Place the source files in a path without spaces in it. (By the way, I use ActiveState 5.8.6) I'm looking forward to playing around with Pugs.