I'm an ActivePerl User too. I haven't done much compiling on Windows lately, so i'm writing this from what i think i remember ;-)

The most likely problem with your MinGW installation ist that the binaries are not in the PATH variable. You can either set it temporarly in the batch file or system wide in the system properties.

If that doesn't work, download the MinGW installer from their homepage and install that one.

Also, i had some trouble getting the default dmake to work (on XP). You can install Microsoft's nmake.exe somewhere in your PATH, for example download the free "Visual C++ Express" from Microsoft. In this case you probably also have to set the correct "o conf" variable in the CPAN shell. This is because Makemaker has to create slightly different Makefiles and also call a different executable.