To enable Build Modules in the BlitzMax IDE you have to install MinGW and alter some environment variables. Instructions for this were previously on the now deleted Updates forum. I've added a section to my Framework Technical FAQ that tells you what to do. I that hope it's of some use to someone:
http://www.greyaliengames.com/framework/technical.html#build
http://www.greyaliengames.com/framework/technical.html#build