This is kind of bootstrapping: some minimal perl is created without Dynaloader module, without PerlIO? and multithreading, and after that this miniperl is used to facilitate entire Perl building process: it runs makedef.pl for example, buildext.pl and other helper scripts to build core extension modules at second, and to build perl.dll at first.
When talking about cross-compilation for WinCE, miniperl.exe is built at first, it runs on Windows, and helps in cross-compiling process to build perl running on WinCE.
This is why MSVC++ should also be installed and envidonment variables for local compiling should be in good shape.
Historical note: 5.6.0 version of perl for Win32 did not required building of miniperl.exe. Instead, some locally installed perl could be used, and there were HPERL macros to represent Perl running on host.
Building process for 5.8.0 and later include building of [miniperl.exe], just because there were done some changes into perl core so newer building process could be kept in better control.