What flavor of Perl are you running on your window's machine? If you are running ActiveState perl then type in ppm in a command prompt and use the ppm utility that comes up. A quick search shows supported windows ppm packages from perl 5.6 through perl 5.12 for this module.
See also the windows module tutorial A guide to installing modules for Win32 written by holli++
Update:windows has it's brand of fun for those not using ppm and trying to compile a module that isn't pure perl but the first hurdle is to make sure you are using the correct flavor of make. To find this out type
at a cmd prompt.