CPAN should automatically install every module within a distribution when a single module is requested. For example, if you install HTTP::Request you'll find that HTTP::Message, HTTP::Reponse, HTTP::Headers, HTTP::Status and others get installed as well because they're part of the same distribution.

That's just how CPAN and ExtUtils::MakeMaker work. If this is not working for you, then you're probably using ExtUtils::MakeMaker wrong.