The most likely cause is, that LWP is not (yet) installed on your system. To install LWP, you can try to use perl -MCPAN -e shell or simply follow that link, download the package, unpack it, install it. If you're running Windows, the process should be the same, but you might want to consider the ActiveState repository or the IndigoStar repository instead of plain CPAN.

In the future, to keep us from guessing the exact error messages you are receiving, please post your operating system, Perl version and the exact error message you are getting, and the best way to post them would be enclosed between <CODE> and </CODE> tags.