Here I'll discuss how to build extensions for 64bit ActivePerl for Windows using freely available tools. First let's discuss which perl for Windows you need if you haven't decided that yet.
For most general use and development you want a 32bit ActivePerl or Strawberry Perl. ActivePerl has the advantage of some difficult to build modules available as easy to install PPM packages in the ActiveState repositories or some of the third-party repositories. In other ways the two are similar, ActivePerl will now automatically install the MinGW toolchain and dmake when you need it to compile an extension, the tools Strawberry Perl comes with, or you can just type ppm install MinGW.
The reason you would generally prefer a 32bit perl on Windows is that many modules, especially some Win32:: modules are not compatible with 64bit perls yet; and in the case of ActivePerl, there are far more PPMs available for the 32bit builds.
Your choice of whether to use a 32bit or 64bit perl may be dictated by factors other than convenience and compatibility however, you may need to link the interpreter into a native process of a certain bitness, or link a .dll library of a certain bitness into the perl interpreter. Or you may need to use either a 32bit or 64bit ODBC driver which will only work with that respective bitness of perl. And so on.