Hi, check out:
1. perldoc cpan 2. perldoc ppm 3. perl -MCPAN -e shell The second one if you are using ActivePerl on Windows.
You can find it all documented in perldoc so I'll just point out some quick install tips for them:

1.
cpan -i WWW::Mechanize
type this in your command line and it will try to install supplied module. It install the modules needed by this one also.

2.
type in ppm in your cmd.exe and wait for it to load.
You will then see something simmilar to a command line first try searching for your module in avaible repositories ( if you want more repositories install PPM::Repositories ).

ppm> s PPM::Repositories  # this will search for PPM::Repositories mod
+ule in active repositories.
Searching in Active Repositories
# you will get a simmilar list to this one
  1. PPM-Repositories [0.11] PPM-Repositories
  2. PPM-Repositories [0.11]
  3. PPM-Repositories [0.11] PPM-Repositories
  4. PPM-Repositories [0.04] PPM-Repositories
  5. PPM-Repositories [0.04] PPM-Repositories
  6. PPM-Repositories [0.04] PPM-Repositories
  7. PPM-Repositories [0.04] PPM-Repositories
ppm> desc 1 # get description of the first result
====================
Package 1:
    Name: PPM-Repositories
 Version: 0.11
  Author: D. H. (crazyinsomniac@yahoo.com)
   Title: PPM-Repositories
Abstract: a list of all *known* ppm package repositories
Location: ActiveState PPM2 Repository
Available Platforms:
       1. MSWin32-x86-multi-thread-5.8
====================
# install the module
ppm> i PPM::Repositories 1 # install the 1st package
[download]

No all you have to do is wait, if there is a module dependency the needed modules will also be installed.

3.
I won't tell you much about the shell interface as it is mostly used on linux/unix machines and I have none shell acc. at this moment. When run the first time you will have to set some stuff like your c compiler and archive applications but the default settings are usually good.
type in perl -MCPAN -e shell and wait for it to load, configure it and you can use it almost exactly as ppm use s module::name to search for a module and i module::name to install it, I think it only checks CPAN repositorie so you do not have to choose what package to install ( but you will have to confirm that you want to install the modules needed by the one you want )

I know this is not much help but I hope it will throw some light on how it can be done, for more information check the tutorial section of perlmonks.org and perldoc.