I am trying to install few CPAN modules like Net::SFTP

Instead use Net::SFTP::Foreign (with the Net::SSH2 backend).
It should install cleanly and easily on Strawberry Perl:

cpan -i Net::SFTP::Foreign::Backend::Net_SSH2
[download]

It uses the libssh2 C library (which ships with Strawberry Perl).
I use Net::SFTP::Foreign on Windows quite a bit and find it to be very good.

Cheers,
Rob