I once compiled OpenGL.pm 0.53 for Win32, and it was only a matter of patching the MS header files. The OpenGL header files should already be in the include search path for the MSVC compiler.
For SGL, I would start with registry entries, if there is some setup file for Win32 that installs the binaries, and then some directory guesses like C:/sdl/lib, and if the guesses fail, use File::Find(::Rule)? to look for the header files, at least on C:/ and the volume perl resides on.
I'm in the process of patching the Net::SSLeay Makefile to do exactly this searching, but haven't come too far with it yet.
perl -MHTTP::Daemon -MHTTP::Response -MLWP::Simple -e ' ; # The $d = new HTTP::Daemon and fork and getprint $d->url and exit;#spider ($c = $d->accept())->get_request(); $c->send_response( new #in the HTTP::Response(200,$_,$_,qq(Just another Perl hacker\n))); ' # web