Can't open perl script "Build.PL": No such file or directory
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This means that Perl can't find a file named Build.PL within your current directory. Are you sure you're in the right place? If you do an ls/dir do you see Build.PL?

cpan> look Alien::wxWidgets
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If in doubt the above command within cpan will download the module and drop you into a shell within the unpacked distribution. You can then do what you want (install notes in README.txt?). To exit this shell type exit.

Update: I see you're using cpanp rather than cpan. Use the z argument to achieve the same as above:

z MODULE ...        # extract module(s) and open command prompt in it
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Update 2: fixed typo.

update 3: added link to README.txt