You can check the documentation of the CPAN-module with "perldoc CPAN".

It uses some configuration variables that you can set (at the shell-prompt) with "o conf <variable> <value>".

After you've made changes you need to commit them with "o conf commit".

To use a proxy (I think) you need to set the variables "http_proxy" (maybe also "ftp_proxy") and possibly (if you have to authenticate at the proxy) "proxy_user" and "poxy_pass".

So try (at the prompt you get with "perl -MCPAN -e shell"

o conf http_proxy <your proxy>
o conf http_user <your proxy-user>
o conf http_pass <your proxy-password>
o conf commit
[download]

and it should work.