dll.exp: file not recognized: File format not recognized
That's not right - first thing I'd try is re-installing Strawberry Perl. Win32-GUI-1.06 builds fine for me on both 5.10 and 5.12 editions of Strawberry Perl.
Note that, if building Win32-GUI with Strawberry Perl, you miss out on Win32::GUI::AxWindow, Win32::GUI::Bitmap and Win32::GUI::Grid. (You'll see warnings about this during the 'perl Makefile.PL' stage.) If you want those features, then you should instead install Win32::GUI from the ActiveState ppm repository.