I don't know why it can't locate CPANModule, but I can help with using modules locally. Since I don't have root privs on my web server, I have to deal with this problem all the time. Just exploit the fact that '.' is already in your @INC path. Create the appropriate directory structure under the directory of your script and plop the module in.

For example, the other day I needed to use Convert::UU and don't have the privs to install it, so I created the directory 'Convert' and put UU.pm from the CPAN distribution into it, then just added 'use Convert::UU' as normal.