There's also cygwin, which gives you a complete GNU-like environment on Windows, where you can install Perl, bash, gcc, make and all the other familiar tools from the GNU world and easily install CPAN modules and run shell scripts.

People keep calling me names every time i say that, but i find the cygwin experience much more stable and predictable than ActiveState or Strawberry. Simply put, CPAN module installation fails much more often on these platforms than on cygwin.