You probably at least need to have the directories containing cl.exe and nmake.exe in your PATH environment variable (you can probably also run vcvars32.bat to do that for you before installing the module; see A Practical Guide to Compiling C based Modules under ActiveState using Microsoft C++). This is to make sure that unqualified "nmake" and "cl" commands will be resolved to the correct programs.

A google search on path environment & windows will probably help too.