On Windows, make your life easy and download Strawberry Perl. If you want to make your life even easier for a M$ install, I can recommend berrybrew, which will help you manage multiple Perl installs if you want to avoid cygwin. Strawberry Perl provides the MinGW toolchain so you can build CPAN distributions, or write your own in any GCC supported compiled language (usually C/C++).
Unfortunately, I find a large number of modules fail to build on Windows, despite the good work the Strawberry Perl team has done with providing a Perl environment that mostly works. If your Perl scripts need to work on multiple systems, seriously consider cygwin or the Linux subsystem for Windows.