On Raspberry Pis, I personally like to use the system Perl and the system package manager to install Perl modules. This may not always give you the latest versions, but things install much faster because nothing needs to be compiled and tested. (Update: In other words, try sudo apt-get install libnet-ssleay-perl.)

It's also usually not recommended to use sudo cpan to install modules to the system Perl - use the system's package manager to install packages to the system Perl, or build your own copy of Perl (e.g. perlbrew) to install modules using a CPAN client there. Or, if using the system Perl, use something like local::lib to install modules to your home directory, so the system Perl's libraries are not affected.

On Raspberry Pis, one of the first things I do is sudo apt-get install build-essential cpanminus liblocal-lib-perl perl-doc and perl -Mlocal::lib >>~/.profile - see my notes on setting up RPis. (Update: I use local::lib on RPis for those few modules that aren't available in the package repositories or where the version in the system repositories is too old.)

If you still want to try installing Net::SSLeay yourself, you can also use the apt command to get most programs' build dependencies; in this case, try sudo apt-get build-dep libnet-ssleay-perl.

In general, I would recommend cpanm over the default CPAN client. Its --verbose option will show you the whole build process, giving you the exact error messages when stuff fails.