I have both Cygwin and ActivePerl installed on more than one computer, no problem.

ActiveState's site is a little twisty, and I know that once I accidentally downloaded the poorly named "Windows Installer" (the Windows MSI installation service) instead of Perl. From the error message you're getting, it sounds like you may have done the same.

Here's a direct link to the download page. If you don't want to register, just click next. Select your preferred version from the table in the middle of the page (on the right hand side is the link to avoid).

Good luck!