You've not specified whether you're using Perl from *nix or Windows, the DATA::Dumper is a standard module, so it comes with Perl. Another thing to consider, sometimes you need to compile the module before installing it. The steps involved into getting a module generally go like download->unpack->build->install and then your module would become functional. The process becomes convoluted at times and at other times some of these steps can be unnecessary like the step of compiling or building the module.

You need to make sure beforehand you've studied well enough the installation procedure and decided what approach you'd follow and what favorable alternatives you can take should unexpected patterns appear. Here're two links that can be useful for you as a start-up:

1. Installing from CPAN
2. Installing Perl modules for Windows and Unix