Take a look at the following ticket
https://rt.cpan.org/Public/Bug/Display.html?id=43110
I've added a patch from someone else to make the package compile on
Windows, so it should be possible. Obviously you need GNU Libidn and
its headers around on your system and also a working XS module compile
environment.
Can't give you any hints apart from that, though, I've never tried to
run Perl on Windows so far.