Here's what I do generally:
1. Go to whichever module you need for windows from web.
2. Download the tar.gz file
3. Extract with WinRAR
4. Run perl makefile.pl
5. Run Nmake (
Download here) or
Go here and download
6. Nmake test
7. Nmake install
Update:
As
CountZero said
Instead of Step 1, You can type "cpan" on the commandline and use options:
get
make
test
install
clean
look
readme
or simply type "help" for the modules
But, it might not work if you are using VPN or proxy (atleast in my case).