package MissingModules;
my %missing = ();
BEGIN {
    push( @INC, sub {
        my ( $code, $mod ) = @_;
        $mod =~ s#/#::#g;
        $mod =~ s/\.pm$//;
        $missing{ $mod }++;
        open( my $fh, '+>', undef );
        print {$fh} "package $mod;\n1;\n";
        seek( $fh, 0, 0 );
        return $fh;
    } );
}
INIT {
    if ( my @list = keys %missing ) {
        warn "Please install CPAN modules: cpan -i @list\n";
        exit;
    }
}

1;

##</code><code>##

#!/usr/bin/perl 
use MissingModules;
use CGI;
use Foo;
use Bar;
use Baz;

1;

##</code><code>##

% perl test.pl
Please install CPAN modules: cpan -i Bar Baz Foo