Unless you're prepared to walk, sail, swim, drive, and/or fly to ActiveState's offices and throw yourself on their mercy, you can't do it "without internet" (as you ask in your last sentence).

However, you can install Device::Modem (so long as you have internet access somewhere, and you obviously do or you couldn't have posted this question) without an internet connection on the W32 XP box in question. For starters (and some cogent observations), please read Yes, even you can use CPAN and the various tuts in Modules: How to Create, Install, and Use, and A Guide to Installing Modules.

For other specific instructions, you can Super Search for terms such as "miniCPAN," "make" (or 'make file', and, of course, "install" and --IIRC-- another approach: "Perl on a Stick" or similar, related to creating a transportable Perl and modules on a thumb drive/memory stick/etc.