You don't have a shell set? Well, I guess my not-Windows experience is bleeding through. You could probably set a shell, but I'm not sure exactly how to do that and it looks like you're getting better advice in some of the other responses.

If you ever run into trouble in the future with a CPAN installation and want to try running the installation by hand, you should figure out how to set the shell (the command is given in the error message) and then it shold work.

Good luck!