Select a mirror. Remove the existing entry:

cpan> o conf urllist shift
[download]

Add the mirror you chose from the list:

cpan> o conf urllist push http://mirror.ox.ac.uk/sites/www.cpan.org/
[download]

Save changes to cpan config:

cpan> o conf commit
[download]

To reinitialise the entire config:

cpan> o conf init
[download]

See also cpan documentation.