I followed the instructions here and set up Lua and Luarocks from scratch, with Mingw. Everything worked fine and I was able to install rocks, including ones which require c
cmake appears to use Visual Studio 9 2008, but it "wrongly" uses mingw32-make.exe instead of maybe... nmake.exe.
You could run this command:"c:\Program Files (x86)\Microsoft Visual Studio 9.0\VC\bin\vcvars32.bat" (adapt to your visual studio path) in the same console, before you execute the luarocks command. Now, cmake should use nmake.