I just downloaded ActivePerl, installed the MinGW package using PPM (which also installed dmake), and successfully built Imager.
I see you're using g++ but yet using nmake - typically if you're building perl or perl modules using the GNU toolset on Windows, you need to use dmake as the make tool. If you installed MinGW using ppm it should have also installed dmake.
As to the jpeg issues, please let me know where you got the jpeg libraries and headers you're using - you can't just copy a libjpeg DLL and expect Imager to build JPEG support from that, Imager needs to find the headers and link libraries at Makefile.PL and make time.
When you run Makefile.PL you'll see a summary like: