You can check the program that Perl will try to run as make via the following command:

perl -V:make
[download]

On my platform, this outputs the following, and as you use ActiveState Perl, it should output the same for you:

C:\>perl -V:make
make='nmake';
[download]

I think that your Perl or ppm installation is broken. If you think that all prerequisites for WWW::Mechanize::Shell installed OK, you can try the "manual installation" as outlined by holli in A guide to installing modules for Win32.