Because you're installing version 1.11 on Windows. Apparently establishing cross-platform portability within DEV releases before making stable releases hasn't been a high priority for the past couple of releases of that module. Witness the CPAN smoke test reports.

That's the short answer. The long answer involves looking at the source code for the failing tests, the source code of the module, and at the specific test(s) that are failing in an attempt to uncover why this is happening. Once you've got that, you can file a bug report and hope the author fixes it. But first it's probably worthwhile to look at the bug queue and see if this is already in progress or not.

The easiest short-term solution is to install an earlier release. It looks like going back only as far as last month's release of 1.09 will restore Windows compatibility for you. The previous releases are still available on CPAN; http://search.cpan.org/~pjcj/Devel-Cover-1.09/, for example. If 1.09 doesn't work out, try 1.08. Hopefully this issue will be fixed soon.