Not being an expert, here is how I did get it running for me: I am not using the CPAN module directly, but through a tool called the CPAN shell, cpan. I'm using Windows 2000, but I hope things are the same under Vista.

1. If you are sitting behind a firewall, you need to set the environment variable HTTP_PROXY to your proxy.
2. From a command line Window, execute the command
      cpan
   You should have it in your $PATH when you have installed ActiveState Perl. Note that whenever you do this, you should start cpan from the same directory (it creates on the first use a configuration file relative to the working directory).
3. Answer the qustions you get asked by cpan. Usually this is only necessary the first time.
4. Now you are in the cpan shell. Typing a question mark, displays the help. Useful commands are install (for fetching a module from CPAN and installing it on your system) and o conf, which with you can display your configuration settings and change them if necessary (for example, if you want to specify different installation directories). For example, install your module with
   install Math::MatrixReal
5. Leave the cpan shell with the q command. Note that you can have only one shell open at a time, and q removes the lock file.

Hope that helps...