Have you checked the error message?
ERROR: Cannot copy 'Template.pm' to 'blib\lib\HTML\Template.pm': No su
+ch file or directory
Is Template.pm in the current directory when dmake executes? Maybe your distribution file is broken. Also, the most recent version of Template::Toolkit is 2.20, so you might be using a stale CPAN mirror. Version 2.09 is from 2003, over five years old. Version 2.10 was released one day after 2.09, so it might include some emergency fix.
Update: This is about HTML::Template, not Template Toolkit.