Welcome to Perl, pelos! First, when you do o conf init, don't forget to give the absolute path. For example:

cpan>o conf init bzip2 C:\Program Files (x86)\GnuWin32-bin/bzip2
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Then run o conf commit:

cpan>o conf commit
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Note that you will also need to download and install the external program QT4. You might enjoy Perl/Tk more than Qt4. It's also much easier to install and use. Good luck!