I would guess that I don't have "nmake" on my machine

Yes - at least nmake.exe is not in your path. Nmake comes with MS compilers, and there are free versions of the Microsoft Visual Studio Compiler available that would give you fairly good mileage - best mileage would come from using the same version that Indigo used to build perl. Running perl -V:ccversion will give you the version number. (I'd be interested to know what that outputs on IndigoPerl.) For ActivePerl it reports '12.00.8804', which is Visual Studio 6.0.

Other options include using the freely available 'dmake' and 'MinGW' port of the gcc compiler, in conjunction with ExtUtils::FakeConfig.

Which path do you want to pursue first - being able to build modules from source, or getting IPM functioning ?

Cheers,
Rob