I have had problems using CPAN on Windows. You may want to try using the ppm program. It's designed to work specifically with Active State, so I would get used to it regardless. The syntax is pretty much the same:
(e.g. 'install DBD-mysql' instead of 'install DBD::mysql).
You get a ton of HTML tutorials/docs on how to use the program installed by default, that is, if you did a standard install.