You might try turning off your antivirus.

http://www.nntp.perl.org/group/perl.win32.vanilla/2010/01/msg198.html

My theory is:
- cpan clients unpacks a bunch of data
- immediately after that cpan clients tries to move the whole upacked dir somewhere else
- however AV has kind of a lock on the original directory as it did not finish the scanning of new files before "move dir" was called
- from the outside it simply seems like "move failed"

https://rt.cpan.org/Public/Bug/Display.html?id=93659