Actually, you can install directly from CPAN with ActivePerl. By default, it will only be able to install modules that are pure Perl and don't need to be compiled. For 32-bit ActivePerl, you can use PPM to install MinGW and dmake from ActiveState's repository and the you can install modules from CPAN that need to be compiled.
As a side note, I will concede that installing modules via PPM (especially from ActiveState's repository) usually has a lower risk of issues than installing directly from CPAN.