You build/install modules on Windows just like you build/install them on *nix.

read this for a fairly detailed explanation. The guts of it is as follows. After unzipping the module zip file:
1) go to the directory where it was unzipped
2) perl Makefile.PL
3) make
4) make test
5) make install

The most troublesome part for most people is finding a make utility. If you have visual C++ installed you are in luck, as it comes with nmake. If you do not, you can download the dmake utility here. In these cases simply substitute nmake or dmake for make in the above instructions.

Or, if you have cygwin or MinGW installed on your windows machine, you can use their make utilities.

Finally, it's not as complicated as it may appear :)

davidj

update:It was kindly pointed out to me that there is a good tutorial at the Monastery for installing modules. You can find it here: A Guide to Installing Modules