If you use ActiveState Perl it should generally "just work"™. The first time you use cpan with a recent ActiveState installed Perl it will install required tools including a compiler and, I presume, a suitable make.

Note that you are likely to have more success if you use a 32 bit Perl than a 64 bit Perl. Many XS modules (those that have a part needing compilation) fail when built as 64 bit modules.

If you use ActiveState Perl it should generally "just work"

The major issue with 64-bit ActivePerl is that it's not really set up to "just work".
With their 32-bit builds you can just ppm install MinGW and away you go but with the 64-bit builds, ppm install MinGW still doesn't do anything useful (afaik).
You have to either install a Microsoft Compiler (such as mentioned by dasgar), or install a 64-bit MinGW compiler yourself and then utilise it via ExtUtils::FakeConfig. (Both of those options are viable, but nowhere near as simple as ppm install MinGW)

Once you have a 64-bit compiler set up for your 64-bit Windows perl, I think you can pretty much expect to be able to build anything you could with the same brand of 32-bit compiler on a 32-bit build of Windows perl. Exceptions no doubt exist but are not common, in my experience.

Cheers,
Rob

Have you tried using just the dmake for Win32? What problems does it have?

I'm assuming from your mention of "ppm" that you're using a version of ActivePerl. Doing a quick Google search, I found this post from Jan Dubois on an ActiveState user forum: http://code.activestate.com/lists/perl-win32-users/32786/

My guess is that you might need to download the Windows 2003 R2 Platform SDK to get the compiler and make from that environment.

If you're not restricted to only using ActivePerl, have you considered trying Strawberry Perl? It looks like their 64-bit distribution of 5.12.3.0 has some compilers (gcc, mingw) as well as a dmake.