For win32 platforms, it's the one in the win32 directory. Do a dir README* in your toplevel perl source directory to see all the numerous README's there are. The one of interest to you will be README.win32. All you need to know is contained in the README for your platform, or as comments in the Makefile for your platform.
I don't know what you mean by "external XS", but many of the core modules use XS and , like Compress::Zlib and Data::Dumper, and practically all XS modules #include "XSUB.h" which does #include "perlapi.h".
I urge you to getyourself a copy of perl, and try to basically replicate what they did (cause it sounds very fishy).