For most of the questions you have listed, it's perfectly safe to take the defaults. For the question about ./Build install (and the corresponding one about make install), you should use a sudo command if you intend to run CPAN shell as yourself, not as root.

The problems are also occuring when I am making the modules I have downloaded, it just gets bad test results and won't continue.

Bad test results can be due to a number of causes. Please supply more details if you want us to help.