I recommend you use a precompiled binary - you can find a ppm here If you want to compile it yourself read this tutorial I put up a year or two ago: A Practical Guide to Compiling C based Modules under ActiveState using Microsoft C++. Note that as well as cl.exe and link.exe you also need all the header and library files, in the right spots, with the correct ENV vars set of cl will choke. To give you an idea we commonly use a compact version of VCC with just cl, the linkers, assemblers and the header and library files. It is 18MB zipped (70MB odd unzipped). This is a lot better than VCC which is 2GB for a full install and takes several hours.
FWIW It installs perfectly (just tested it on a Win32 box) you just need a working compiler setup