By default, perl modules install in the directory that's associated with your version of perl, usually /usr/bin/perl. Since you haven't specified a location in your home directory, the system thinks you want to install it in /usr/lib/perl5/site_perl/5.8.5/i386-linux-thread-multi.

So, to install correctly, you need to run

mkdir ~/lib
perl Makefile.PL PREFIX=~/lib LIB=~/lib
[download]

then make, make test, and make install.

That's it in a nutshell. For more info, this tutorial section addresses how to install, and what to do when you get a permissions error.