C:/perl/site/lib is the destination to hold additions to the default (what's installed on your site), C:/perl/lib contains the Perl core moduls, I keep this directory untouched. This is a mostly unknown Unix habit to keep user-additions apart (just look into the windows directories, to see what I mean).

I always download the Source-Package.tgz, unzip it with winzip, change to the directory and make everything (well, nmake) as told in other responses. I installed even TK, DBI, DBD::DB2 etc with this method (I have a C compiler installed). After nmake install, I find the modules in the site/lib path and use them as wanted. BTW I read something about a tool to update the HTML help from the new PODs

And it came to pass that in time the Great God Om spake unto Brutha, the Chosen One: "Psst!"
(Terry Pratchett, Small Gods)