If you really want to install it on a Windows machine anyways, you might try to install it under Cygwin. It is possible to run your own X Server on Cygwin, so I can't imagine what isn't possible if you really try. :)

Beware though, that Cygwin comes with it's own environment, it's own perl and all, so you are most probably constricted to within that environment with this. And speaking from experience, having several perl environments on your computer can be confusing at best - although they do not clash unless you make them.

Under Cygwin, you can do the "perl Makefile.PL, make, make test, make install" like you expect, or simply use "perl -MCPAN -e 'install <Module>'" on the commandline.