Have you downloaded and installed Michael Collins' source code package for the parser? (
ftp://ftp.cis.upenn.edu/pub/mcollins/PARSER.tar.gz)
The perl module is just a wrapper for that package, so if the code has not been compiled, linked and installed for use, the perl module has nothing to link to.
The readme file in the COLLINS-PARSER source code package doesn't mention any OS dependencies, but it is clearly geared to the unix/linux crowd. Any of the "unix tools for windows" packages (or at least "gcc" and "make" for windows) will probably help, and the source code probably doesn't involve anything that will choke on windows, but you won't know for sure till you try.
