If you're using Activestate Perl (which it seems you are from your OP), you can just use Perl Package Manager to install/updated modules.
From the "Start" menu, select "Run", type 'cmd' and press "OK". In the Command Prompt, type 'ppm' and press enter. Alternatively, you could just Start -> Run -> ppm, if Windows knows were to find it (C:\Perl\bin is in your path).
That should allow you to install pre-built modules.
If you still want to 'CPAN' modules the hard way, use PPM to install 'dmake'. You can get Microsoft's 'nmake' if you have Visual C++ installed - I'm guessing you don't otherwise you'd have nmake already.
ppm install dmake
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