As long as there is no compiling involved, I've always been successful at manually installing modules using nmake.exe (the version straight from MS, like the link from here). When they do need to be compiled, I almost always find it in ActiveState's repository (though often not the latest version).

One of your attempts above indicates you were installing a module that requires compiling (Digest::MD5 which I believe is available from ActiveState), another attempt (the XML::SAX) looks like you just didn't install a prerequisite module. Hang in there, keep trying, you'll get it eventually...