Do you have Visual C/C++ compiler installed on your computer? The Digest::SHA module has XS components and requires a C compiler (Visual C compiler to be exact) to compile properly.

Well, in theory, once you unzipped the source package, you just do perl Makefile.PL, make, make test and make install to install the module. But sometimes it is not that straight forward, especially when you have to compile XS component(s), you never know what sort of error might occur. It could be a challenging task for beginners.

There is an easier option however. I think PodMaster maintains an (up-to-date?) 5.8x ppm repository, you could check if he has precompiled Digest::SHA package in his ppm repository already. Otherwise if you ask him nicely, he might be able to compile it for you.