The initial setup stuff only needs to be done once the first time you use CPAN. It involves picking a close CPAN server from a list and setting CPAN parameters. It starts up automatically and is self explanatory. Consequent times, CPAN comes up directly with a welcome message and cpan> prompt.

It is not necessary to go to a particular directory; CPAN will find and install the module in the proper directory. You will want to be superuser when invoking CPAN so that you have permission to write to the /usr subdirectories.

I encourage you play around with the CPAN interactive shell. It is fun and easy.