it can't connect to the internet due to some proxy setting or firewall or whatever

From 'ppm help':

"http_proxy"
PPM uses LWP to access remote repositories. If you need HTTP traffic p
+ass via a proxy server to reach the repository, you must set the "htt
+p_proxy" environment variable. Some examples:

Using bash:
export http_proxy=http://proxy.mycompany.com

Using cmd.exe:
set http_proxy=http://username:password@proxy.mycompany.com:8008

See "env_proxy" in LWP::UserAgent for more.
[download]

MinGW and dmake come with Strawberry Perl, so you can also get it that way. Or you could try your luck with the automated (MinGW 5.1.4) installer at https://sourceforge.net/project/showfiles.php?group_id=2435 (then you'll still need to grab dmake from CPAN).

The easiest way, imo, is to install MinGW with ppm (and that also gives you dmake). So I would first be trying to set the http_proxy environment variable as mentioned above.

Cheers,
Rob