As a long suffering (no, not really, but it sounds dramatic ;o) user of Perl on Win32... these are a few things you can try..

Firstly, it may seem obvious, but are you SURE the module you want is supported on Win32 ? Of late, the ActiveState PPM is fairly well stocked, so there may be a legitimate reason for the module not being included...

Another thing on the checklist, is the perl executable (ie: c:\perl\bin) added to your path ? You need to reboot your machine on Win98 for any changes to take effect to the setting of the path variable...

Along the same lines, the installation of ActivePerl might have bombed out for some reason.. did you notice any error messages etc ?

Next, although there might not be an error message, there should be a file named MakeFile as a result of executing perl MakeFile.pl.. You should check for its existence.. I build modules regularly these days, now I have VC++ on my machine, and its quite ok

For the next item on the checklist, I use nmake, and not dmake.. perhaps you should check your version of dmake ? (ok, this is a bit of a long shot, I know).. or perhaps even use nmake...

Another thing, if you installed the fancy MSI installer version of ActivePerl, if the module you have is NOT pure Perl, you *must* use Visual C++ 6.0 to build the module.. Building an XS module with any other C compiler is apparently not going to bring you any joy.. :o)
Ok, I've put down some of the things that I've encountered and others that I can think of... if these things are fixed or seem ok to you, please check back with some more information..
HTH