I know that the active perl have a Perl Package Manager, but this tool does not support proxy, and I must set proxy to access internet in my firm.

Try:

set HTTP_proxy=http://yourproxy:nnnn
set HTTP_proxy_user=yourusername
set HTTP_proxy_pass=yourproxypassword
ppm-shell
install URI::Escape
[download]

If that works for you, then you can add them to your environment permanently in the usual way.