Currently, the automated build of SDL fails for all ActiveState Perl versions. Please see this web site: http://code.activestate.com/ppm/SDL/
It's an overview. For Perl 5.16 x86, this is is the build protocol: http://ppm4.activestate.com/MSWin32-x86/5.16/1600/F/FR/FROGGS/SDL-2.544.d/log-20140515T042500.txt
There seems to be some missing files.
As I cannot install it using CPAN either (I created already 2 issues for Windows environments so I won't do a 3rd for the next Windows generation), maybe it would be better to look into the issue of the ActiveState build system?
I don't know about compiling C dependencies and stuff (that's why I chose Perl). So I cannot helop you here - sorry :-(
Is there maybe another PPM repository for it?
Please note that switching to Strawberry Perl where it might work is not really an option because using Strawberry Perl, programs cannot be compiled anymore. Using ActiveState Perl, this is possible with the PDK.