Can you tell us exactly what kind of error you are getting when the CPAN install module tries to access nmake? My first hunch with out any additional info would be that you do not the path to nmake properly defined in your Environment Variables.

To get to Environment Variables in Windows 2K do this:
1) Right Click on My Computer (on your Desktop)
2) Select Properties
3) Select Enivironment Variables
4) Highlight/Select/Click On Path
5) Click Edit
6) If it isn't already there put in the full path to nmake spaces and all where it says 'Variable Value'
7) Click OK

Hope this helps.