WRT Windows, I can say that CPANPLUS.pm works a lot better than CPAN.pm for some reason. I don't think I ever got CPAN.pm working properly.
So, the order for me is:
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Try PPM. That may or may not work with the Perl version I have. It works sometimes.
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Try CPANPLUS. I have VC++ which makes it a nice Unix-like installation experience (for all pure-Perl-modules nmake should be enough). Some modules require other libs which may be have poor support for win32 builds.
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Try a manual PPM install. Download the files and install from disk, maybe with some tweaks.
/J
Update: Oh, cool! This was my 100th post.