Sounds like you are missing a C compiler. Get a copy of the latest free MS C compiler (involves installing tons of crap) or get your company to buy one. Either way the amount of money you save by being able to build open source on your MS box will quickly recoup the cost of the compiler.
Er, the above is assuming that binary interoperability with MS is important, if it isnt then use cygwin perl and cygwin gcc. OTOH, a native compiler will probably result in a faster executables overall. (With some exceptions, AS'es Perl isnt optimal with respect to certain memory operations, especially realloc.)