You can alternatively download the '.zip' version (which is the one I always grab ... there's something about the msi packages that I dislike ... but I can no longer recall precisely what it is :-)
Just unpack the zip archive, and run the 'Installer.bat' that comes with it, to install Perl to the location of your choice. (You can then remove the entire directory into which the zip archive was unpacked.)

Cheers,
Rob