I guess the first thing to do is to determine if the script you're trying to use is meant to be a command line script, a GUI script (unlikely in this case), or a CGI script. If it's a command-line script, open a DOS console window and run it from the command line. If it's dumping a bunch of HTML, it may be a CGI script, in which case you'll need to let a webserver run it. For that, you'll need... a webserver (such as Apache), or you'll need to put it online with an ISP that allows you to install CGI scripts to run on its webserver.

Regarding modules, if you're using ActiveState's Perl, you probably also have the PPM utility, which can be used to install modules on your local system. For installing on your ISP's system, you'll need to know what OS you're using, and will need to use the makefile that comes with the module's distribution from CPAN. There are also Tutorials here at the Monastery for how to install modules. Read them, they're very helpful.

And as for which modules to use, I think you'll find that WWW::Mechanize is very helpful.