I'm not exactly sure where you get the idea that running a Perl in an emulator box instead of running the native Perl will be better. Cygwin Perl has slow performance, ugly and weird file names (like the rest of Cygwin), and no proper Win32:: integration - three lacking things that ActiveState provides.

If you want to escape the grasp of PPM and PPM3, you can install the (now free) compilers from Microsoft to compile either just the needed extensions or the whole Perl for Win32, but to recommend the ugly crutch of Cygwin as a solution strikes me as odd.