Thank you cdarke, this is even closer to what I originally intended to do.
I didn't know the "cpan" tool could be invoked by itself from the command line. It does work however, and from there it's possible to redirect STDERR and STDOUT to a file with the cmd shell, exactly as you specified in your example.
Now I got the output into a file, and it's over 30Kb's long.
Piping into the "more" utility also works, but it's a lot less useful than "less" on Linux. But still, it's good to know that this technique exists.
Have a nice day! :)