If the OP is using Strawberry Perl, it already comes with the cpanm tool from App::cpanminus.

For the more recent versions of ActiveState's ActivePerl, you can use PPM to install MinGW and dmake from ActiveState's repository, which will let you install modules directly from CPAN. I can't say definitely when they started providing those two in their repository and there's also the catch that their repositories for older builds are now only available to those who have purchased support from them.

The above is true for their 32-bit ActivePerl. I'm not sure if the same holds for the 64-bit ActivePerl. I want to say that there were some more steps needed and/or you need some stuff from Visual Studio to get 64-bit ActivePerl to have the compiler and tools needed to install directly modules from CPAN.

I haven't used ActiveState's ActivePerl for at least a few years (been using Strawberry Perl instead), but thought I'd share what details I could remember in case it might help others.