That is true. I didn't notice the message that I would need to install libapreq2 separetely when I was installing CGI-Apache2-Wrapper.
The problem now is that I can't install libapreq2.
nmake says:

D:\dst\ActivePerl\libapreq2-2.08>nmake

Microsoft (R) Program Maintenance Utility   Version 1.50
Copyright (c) Microsoft Corp 1988-94. All rights reserved.

        NMAKE /nologo /f D:\dst\ACTIVE~1\LIBAPR~1.08\win32\libapreq2.m
+ak CFG="li
bapreq2 - Win32 Release" APACHE="C:\PROGRA~1\APACHE~1\Apache2.2" APREQ
+_HOME="D:\
dst\ACTIVE~1\LIBAPR~1.08" APR_LIB="C:\PROGRA~1\APACHE~1\Apache2.2\lib\
+libapr-1.l
ib" APU_LIB="C:\PROGRA~1\APACHE~1\Apache2.2\lib\libaprutil-1.lib"
        cl.exe /Fo"D:\dst\ACTIVE~1\LIBAPR~1.08\win32\libs\cookie.obj" 
+/nologo /M
D /W3 /O2 /D "WIN32" /D "NDEBUG" /D "_WINDOWS" /D "_MBCS" /D "_USRDLL"
+ /I"C:\PRO
GRA~1\APACHE~1\Apache2.2\include" /I"C:\Program\ Files\Microsoft\ Plat
+form\ SDK\
 for\ Windows\ Server\ 2003\ R2\Include" /I"D:\dst\ACTIVE~1\LIBAPR~1.0
+8\include"
 /YX /FD /c D:\dst\ACTIVE~1\LIBAPR~1.08\library\cookie.c
cl : Command line warning D9002 : ignoring unknown option '/YX'
cookie.c
c:\program files\apache software foundation\apache2.2\include\apr.h(92
+) : fatal
error C1083: Cannot open include file: 'windows.h': No such file or di
+rectory
NMAKE : fatal error U1077: 'C:\WINDOWS\system32\cmd.exe' : return code
+ '0x2'
Stop.
NMAKE : fatal error U1077: 'C:\WINDOWS\system32\cmd.exe' : return code
+ '0x2'
Stop.
[download]

In fact, there is such a header in C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Include (which I included manually in libapreq2.mak).

Don't know what to do.
Artem.

!!!!!!!!!!!!!!! THE ABOVE IS SOLVED !!!

Just install libapreq2 from ppm... So easy.