If you're in the CPAN shell (by, for example, issuing the command perl -MCPAN -e 'shell;'), then you would do something like:

o conf urllist http://ftp.wayne.edu/cpan/
o conf commit
[download]

(The last line saves the changes to the configuration.) As mr_mischief suggested, you probably would want to have more than one mirror you were trying to reach, so you might do something like:

o conf urllist http://ftp.wayne.edu/cpan/ http://mirror.sit.wisc.edu/p
+ub/CPAN/
o conf commit
[download]

According to the documentation for CPAN.pm, 'o conf urllist ' can also be followed by the commands unshift, shift, push, pop, splice, and list to examine or update the configuration option.

Hope that helps.