From your reference to a gui popping up (in a subthread above), I gather you're using ppm4 which has occasionally given me problems too (even when properly proxied and allowed past a firewall. The most common of these semi-random glitches, however, is ppm's erroneous conclusion that a module is already installed.

You might want to see (I don't know for sure, but believe you can) if you can revert to ppm3; alternately, read marto's advice on repositories above or tanktalus' excellent Yes, even you can use CPAN and holli's A guide to installing modules for Win32.