I think that's quite a gamble. The freely available MinGW compiler works well with ActiveState perl. Neither its direct.h nor the direct.h in any of the MSVC compilers that I have define 'DIR'.
My best instincts tell me that you should dispense with Open Watcom and grab a compiler (preferably either MSVC++ 6.0 or MinGW) that's known to work with ActivePerl and is well supported (wrt ActivePerl).
I take it you have your own XS modules that you need to compile ? Otherwise you could just make use of the PPM utility to install pre-compiled builds of the CPAN modules.