i think you are using windows, no?
when you download via Internet Explorer (even an ftp site looks just like a collection of links) you must save the xxmodule.tar.gz as type ANY not the defaulted type WINZIP. you may also have to fix the filename before pressing save, as windows might have changed xxmodule.tar.gz to xxmodule.tar.tar
anyways....modules that come from CPAN are useless to you on a windows platform unless you have a properly configured C compiler and make utility as well.
if you're using activestate's perl, depending upon which version, there's ppm (perl 5.0X) and ppm3 (perl 5.6 and 5.8). ppm stands for Perl Package Manager, and is a totally different format of storing modules for activestate perl only (which is 99% of all perl installations on windows.) these packages are pre-compiled for windows platform. activestate maintains repositories of these pre-compiled modules, and some perl monks create and even keep online their own repositories. check your ppm documentation on how to use it.