I am not too familiar with using this on windows, but it should be fairly equivalent to the UNIX process.

make runs the Makefile through make, all actual compilation and such (for pure perl modules this is usually just formatting documentation) happens here
make test runs the tests included with the module distribution, if they fail the installation shouldn't proceed.
make install actually copies the new module to where your scripts can find it, without having to do a 'use lib'

the CPAN command line is the easiest way to go here. simply run it with 'bash$ perl -MCPAN -e shell;' and type 'install Spreadsheet::ParseExcel' this will download the module, make it, test it and install it in the proper location; it will also take care of any dependencies for you (which can save A LOT of headaches)
Of course the catch 22 here is that you need to install the CPAN module first.

Again, I don't have any experience with this on windows, but that's the general idea.