You can install scripts using WriteMakefile's EXE_FILES option.

To install anything else, you'll need to override ExtUtils::MakeMaker methods. See here, but beware that this gets really really ugly. I prefer to embed data in modules - for example, Number::Phone::UK::Data has an embedded DBM::Deep database. If you'd rather not do that, then I suggest using Module::Build and its add_build_element method.