Have you tried using the PPM that came with ActiveState Perl? I generally try to install new modules via PPM on my system. These are not necessarily the latest and greatest versions, but these are the ppd's of the module that have been tested with ActiveState Perl and will usually have no problems installing.

Also, if you are having issues with ActiveState Perl, you might also try asking for help in ActiveState's Community Forum. That's a good place to look for help with ActiveState specific issues.

As for providing more assistance, I have to admit that I can't find WWW::Proxy on CPAN. Are you sure that you have the correct module name in your post?