You are going about it the wrong way, esp. on Windows. Some Perl modules are pure-perl, and like the perl scripts you might write, they are just plain text. Installing them is just a matter of copying them into the correct directories, easily achieved by

perl Makefile.PL
make
sudo make install
[download]

Other modules, however, have C/C++ code in them, and need to be compiled. Since most all Win boxes do not have a compiler, you need to download pre-compiled versions. Use ppm, your perl package manager (Win equivalent of cpan), install modules on Windows.

Now, ActiveState's ppm point's to ActiveState's ppm repositories, which do not have all the modules compiled and ready. You might have to hunt down specific ones (Randy Kobes archive at theory.uwinnipeg.edu seems to have most). Then you have to point your ppm to that repository.

Read the ppm help.