It would have been more helpful if you could have provided more text from the error message. When I tried installing Net::SFTP on a system using portable Strawberry Perl, my attempt failed at the same point as the post from Cow1337killr. In particular, I got something similar to this excerpt from Cow1337killr's post:
dmake.exe: Error code 129, while making 'Curve25519.o'
AJGB/Crypt-Curve25519-0.05.tar.gz
C:\STRAWB~1\c\bin\dmake.exe -- NOT OK
Stopping: 'install' failed for 'Crypt::Curve25519'.
Failed during this command:
AJGB/Crypt-Curve25519-0.05.tar.gz : make NO
Doing a little checking on the Crypt::Curve25519 module (which appears to be the source of the issue), there doesn't seem to be any tests that passed in the mswin32 column of its CPAN Testers matrix. Also, it looks like someone has already filed a bug report on this issue - and for whatever reason, there doesn't seem to be a response yet from the module's author.
If you're not willing to wait for the module's author to fix this issue and are not interested in figuring out a patch for this issue yourself, then it looks like using Net::SFTP may not be an option. Of course, syphilis shared an alternative solution in his post.