You can get a copy of nmake, Microsoft's make tool, here:

http://download.microsoft.com/download/vc15/patch/1.52/w95/en-us/nmake15.exe

Alternately you could try installing the module using the ppm program which comes with ActiveState Perl. If the ppm repository has the module it should install with no additional work required.

If I was in your shoes I'd ditch ActiveState and try out CamelPack. It sounds really neat to me.

-sam