I have all the GD-modules installen on my Windows XP box without a problem. I used ppm The ActiveState repository only has the Perl 5.6 version modules but the University of Winnipeg repository ("Randy Kobes") has both 5.6 and 5.8.
"If you have four groups working on a compiler, you'll get a 4-pass compiler." - Conway's Law
I was on a Solaris machine (which is probably one of the more problematic unix OSes, in my limited experience). I'm sorry that I can't answer your Windows question, as I've never done any perl installations under Windows.
It's all fine and dandy until someone has to look at the code.