I've seen posts from time to time about difficulties building on Windows. I had some problems as well and wanted to send this out to maybe save others some time.
The INSTALL.W32 and .W64 mention that you could use the Cygwin perl, but when I tried that it just hung on one of the invocations and did nothing. I had to download and install ActivePerl as mentioned to get do_win64a to work. I also found I could only get it to compile when configured for VC-WIN64A, not VC-WIN64I. I also found that ntdll.mak wouldn't work, but nt.mak would. All of this was on Windows 2003 with Visual Studio 2005. Wayne.