OK.. Here's what I found when I made a quick search:

The first thing, of course, is that you need to install expat first - and I suppose you already did that.
The default installation procedure for the expat library is:

./configure
make
make install

However, be aware that this will install the expat library files in /usr/local rather than /usr. If you then go to install the XML::Parser library, the make will fail due to an

#include <expat.h>

statement with Expat.xs. The reason for this is that expat.h has been installed in /usr/local/include rather than /use/include.

When running the expat install, run the expat configure script with the --prefix=/usr; this should ensure that the various expat library components get installed in /usr where XML::Parser expects them to be.
There was also this cpan link that would provide you with some extra information.

Hope this helps.
All the best!

"True!"
SRK.