Readme.txt states:

* Running the Application

- From the binary distro. Run the tgl.exe file. No modules
needed, just launch it.
[download]

If you don't have ppm installed (out of interest what does perl -v show?) install it via cpan install PPM. Note however that you're not going to have much fun installing ppd (packages for ppm) of modules build for older versions of Perl. Read up on binary compatability.

If you insist on using this thing (it seems like a dead projet, almost 10 years without an update, no community to speak of) I'd use the binary provided (advised above), and the advice dasgar gives here.

Update: you seem confused (here and in the other post) as the the location of the binary. tgl.exe should exist within the "TheGUILoft" directory when extracting the "Loft_Binary.zip" file.