You should be looking at using pp to convert your script to an executable, as detailed at the start of the PAR documentation:

"(If you want to make an executable that contains all module, scripts and data files, please consult the pp utility instead. pp used to be part of the PAR distribution but is now shipped as part of the PAR::Packer distribution instead.)"

Regarding your PPM/proxy issue read ActiveState docs on that subject. See also Installing Modules from the tutorials section of this site.