It then told me that neko.dll was missing, so I copied the contents of the neko file (in C:\HaxeToolkit\neko) to the haxe folder, which worked.
That's not really a proper solution.. You need to make sure that both the
neko commands are in your system
PATH (to be precise,
C:\HaxeToolkit\haxe). The Haxe installer normally does that, but maybe something went wrong in your case.