perldoc CPAN has a FAQ section. Item 1 answers your question.

Update: ++Chmrr has pointed out that this is FAQ #5 in the Perl 5.6.1 distribution version. YMMV depending on your local version of perl and CPAN.pm. ExtUtils::MakeMaker has a more complete list of the installation directories you can set. Use your local perldoc to get the most accurate info on your installed modules.

After Compline,
Zaxo