If you want to install modules that need to be compiled (such as XS modules) in ActiveState's ActivePerl, you'll need to install MinGW and dmake from ActiveState's PPM repository. For 32-bit ActivePerl, that's all that you need to do. If you're using 64-bit ActivePerl, there may be additional steps needed, but that's outside the scope of my knowledge and experience.

I'd agree with Discipulus' recommendation about using Strawberry Perl, which comes with the compiler and tools needed to install most of the modules from CPAN. (Some modules won't install on Windows due to OS dependencies.)

Since I personally have not used it myself, I can't comment on Citrus Perl. Like you, I have seen a number of folks recommend it here at this site.