If you are on Windows, just put nmake.exe and nmake.err in your System32 folder. That's all there is to it, provided the config.pm in the CPAN-folder has no hardwired path to your nmake.exe (solution: just replace the entry in config.pm by 'nmake.exe' and it will be OK).
CountZero
"If you have four groups working on a compiler, you'll get a 4-pass compiler." - Conway's Law