That's not how you install modules into Perl. It may work, but as it doesn't work for you, see Yes, even you can use CPAN. WWW::Mechanize has some prerequisite modules that you will also need to install manually if you choose to go that route. Also, you didn't tell us where exactly you extracted the files to. It seems you didn't extract them into a directory listed in @INC. On my system, Perl looks like this:

Q:\>perl -le "print for @INC"
Q:/Corion/perl-5.8.8/perl/lib
Q:/Corion/perl-5.8.8/perl/site/lib
.
[download]

and WWW/Mechanize.pm lives in the following directory:

Q:\>dir Q:\Corion\perl-5.8.8\perl\site\lib\WWW\Mechanize.pm
 Datenträger in Laufwerk Q: ist XXX$
 Volumeseriennummer: 0502-27E2

 Verzeichnis von Q:\Corion\perl-5.8.8\perl\site\lib\WWW

25.05.2007  03:32            70.958 Mechanize.pm
               1 Datei(en)         70.958 Bytes
               0 Verzeichnis(se), 128.371.900.416 Bytes frei
Q:\>
[download]