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This looks like an ActiveState specific patch, judging from their change log.
http://docs.activestate.com/activeperl/5.10/change...

On 32-bit Windows the CPAN shell will automatically download and install the
MinGW GCC compiler and the dmake utility if it cannot find a C compiler and
make utility on the PATH. In other situations (e.g. when you run perl
Makefile.PL from the commandline) ActivePerl will only display a warning and
information how to manually install the MinGW compiler.

AS doesn't make the source of older builds available so I can't be sure, but
nothing like that warning appears in the source for build 1007. Upgrading may
make it go away.