Well, it means a couple of things could have happened...
The archive is invalid because it was downloaded incorrectly. (Eg. you did not download the whole archive, try again.)
Sometimes, tar.gz files are not opened correctly with winzip. Try downloading and installing cygwin and then do a tar -zxvf on the file and see if you can install it. (Also, cygwin itself has a copy of perl available, which you can select for download under the 'interpeter' section of the setup window...)
Are you using Activestate perl? Why not use the native ppm interface? (Do a perldoc ppm from the command line or you can browse the documentation.)