I'm not much of a Windows nor an Active State user, but I would suspect there is a way of easily converting a normal CPAN module into a PPM. If not, I guess that by using nmake on Win32 you could install a pure-perl module without much hassle.
In either case, my suggestion is to look into h2xs (or the newer build module) and make yourself a package of your stuff. The basic structure generated by h2xs is great for changing your mindset into a TDD one, plus you will have make install a lot of other neat stuff. Besides, if your code is useful for other people you can post it in CPAN with little effort.
If you can, get your hands on "Intermediate Perl" by Randal Schwartz, brian d foy and Tom Phoenix (O'Reilly ISBN 0-596-10206-2). Chapters 10 through 16 will give you all you need to make and publish your stuff (even if for oneself). All it takes is a few hours of reading and you will have your "installable" modules in no time.