I absolutely agree that you should use PPM to install new packages. It's just so much nicer. You can install from a package repository on the net, or you can easily install downloaded modules.
Here's what I do (using ActiveState on 98/NT,2000):
Get the module in Zip format from ActiveState at their Zip Repository and save the zip to your machine.
Unzip the archive: you'll see a .ppd file and at least one folder
Open a command prompt and cd to whereever you unzipped the package and type: ppm install <packagename>.ppd.