I suggest you have a read of the tutorial
A Guide to Installing Modules. Both CPAN and PPM can be used on Windows and make life alot easier. Both will download, make, test and install the distributions for you. CPAN will also check for prerequisites and ask whether you want to install them too, which can save you time.
In addition there is now CPANPLUS which extends the functionality and usage of CPAN if you wanted to look into that.
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Barbie | Birmingham Perl Mongers | http://birmingham.pm.org/