If you look in the directory of the user you run your command as you will find a .cpan directory. Have a poke about in there and you'll find thats where all the setting up (and such) is done. Ok thats a bit simplified but it should serve.

You should find that you can remove the .cpan dir and start again. I've done this without a problem. I don't know, in all honesty, if this is the correct method of doing this so if it isn't then I apologise now :)

If you wish to install by hand, which is what I tend to stick with. Pop over to cpan.org and grab the distro you want (all will have readmes so you should find what you want). Download it and read the install file, if one is present. However most will expect you to:

perl Makefile.PL
make
make install
[download]

However, this is covered in more detail at this location and should answer all your questions or make you have more (you never know :P).