The documentation of CPAN says

You can set and query each of these options interactively in the cpan shell with the command set defined within the o conf command:

o conf <scalar option>

prints the current value of the scalar option

o conf <scalar option> <value>

Sets the value of the scalar option to value

o conf <list option>

prints the current value of the list option in MakeMaker's neatvalue format.

o conf <list option> [shift|pop]

shifts or pops the array in the list option variable

o conf <list option> [unshift|push|splice] <list>

works like the corresponding perl commands.

There's a list option called urllist which defines the CPAN mirrors the module will consult. Don't forget o conf commit to store your changes permanently.