You probably know this, but if you have the non-free M$ Visual C++ configured correctly in your path, the following will work:

C:\>perl -MCPAN -e "install Module::Name"

Using MSVC, I have, in the past, been able to install Crypt::Blowfish on Win32 (Cryptography rules!). Unfortunately CPAN tends not to work with free compilers such as MinGW. I'd rather see MinGW supported than MSVC++!

Someone has also stated you can get the .NET version of MSVC++ for free (as in beer, not speech), somewhere on MSDN -- but then you will require the .NET runtime to run (which might be desirable). Again, this is totally untested on my end -- I avoid Windows whenever I can.