Opened CYGWIN, changed to the directory, used perl makefile.pl
It told me that it had successfully installed it

Urm... no, that's merely the first step. You still have to go through the make cycle. For Cygwin, use the make that comes with it. If you use ActivePerl or Indigoperl, you can use nmake, a free download (50k) from Microsoft. Now the steps are, in the directory the decompressed archive is in:

perl Makefile.PL

creates the makefile

make or nmake

builds/moves the module files into their final form and tree structure organisation (under blib in the same directory)

make test or nmake test

runs the test scripts (common: *.t files under the directory t) while temporarily adding the directories under blib, namely blib/lib and blib/arch, to @INC. This is necessary because the module isn't installed yet.

make install or nmake install

copies the file trees under blib to its final location, normally that's under site/lib. This is the actual final installation.

Oh, and I tried it with Data::Serializer. It works well, without PPM.