Try typing this:

perl -MCPAN -e shell
o conf no_proxy localhost
q
[download]

It's a WILD guess, but maybe you should also include the *EXACT* error message...? Using <CODE> tags of course.

Update
Sorry, that's obviously not going to work since you're using PPM. I suppose it's just as important for me to READ this little information you provide as it is for you to supply it :)

Please be specific about which module you're installing and include the error message. Again, use <CODE> and </CODE>

Update 2
Since writing this, mecrazycoder has updated the original node with CODE tags and a quote of the error message. Good thing to do, but it's also nice to add updates like this.