Let's see.... Readme for CGI::Session says

  ID GENERATORS
    Following ID generators are available:
    *   MD5 - generates 32 character long hexidecimal string. Requires
        Digest::MD5. Full name: CGI::Session::ID::MD5.

Do you have Digest::MD5 installed?   Using PPM I see

PPM> search md5
Packages available from http://theoryx5.uwinnipeg.ca/cgi-bin/ppmserver?urn:/PPMS
erver:
Digest-MD5    2.27 Perl interface to the MD5 Algorithm
Packages available from http://ppm.ActiveState.com/cgibin/PPM/ppmserver.pl?urn:/PPMServer:
Digest-Perl-MD5 1.5 Perl Implementation of Rivest's MD5 algorithm

Note that Digest-MD5 is available from a different site than ActiveState.   Depending on the ActivePerl version you have you would set PPM to use one of Randy Kobe's two PPM-package directories.   I use the 6xx one, which you can add to PPM using:

      set repository RK http://theoryx5.uwinnipeg.ca/cgi-bin/ppmserver
+?urn:/PPMServer
[download]

But I am very much worried that CGI::Session was not installed correctly to begin with.   CGI:Session::File is _part_ of that package.   If parts of the package were not installed in the right places who knows what else might be wrong.   I think you should go back and figure out what the _first_ problem was...