You need to install the modules as root (or some other user who has permissions to write to the /System/Library/Perl directory). You can do this by either using su at the command line and typing in root's password, or using sudo (in this case, probably sudo perl -MCPAN -e shell;). You can read more about both commands by using man su and man sudo.

Nota Bene: To use sudo you might need to be in the /etc/sudoers file. If this is the case, you'll need to be root to add yourself to it.