What version of Perl on Windows are you using? There are two very distinct distributions, Cygwin and ActivePerl. ActivePerl is compiled with Visual C and uses NMAKE. You can't compile binary extensions without Visual C. If you don't have Visual Studio, you can still build Perl modules if you get NMAKE. You seem to have the archive containing NMAKE.

Cygwin is a Unix emulation environment and uses GCC and GNU Make. If you want to build Perl modules for Cygwin, you will need to install gcc and make through Cygwin setup. But the two environments are not compatible.

It is theoretically possible to build extensions for ActivePerl with the Mingw GCC compiler and GNU Make, but it is not standard.