Finally, some output ;) As choroba points out:

Can't locate Devel/Dwarn.pm
[download]

The module tests requires a module which is not marked as a dependency. This is why cpan doesn't install this module for you, and why you're getting the error. The solution is to install Devel::Dwarn before installing MSWord::ToHTML:

cpan Devel::Dwarn
cpan MSWord::ToHTML
[download]

I appreciate that there can be a lot of output generated when installing modules, you need to get used to reading and understanding their output.

Update: I've submitted a patch to have Devel::Dwarn added as a prerequisite.