How to do this in Windows OS?

The first command simply removed the ".cpan" directory. In windows you could achieve the same with:

rmdir /s /q C:/full/path/to/.cpan
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but it might be better to simply rename that directory to (say) ".cpan_hide" (or to just delete it to the recycle bin).
That way the original .cpan directory is still retrievable.

For the second command, I'd try running it unchanged:

perl -MCPAN -e shell
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which should hopefully take you through the process of configuring your new ".cpan" directory.

However, I'm no expert on CPAN.pm.

Cheers,
Rob