Use the PPM utility to install MinGW and dmake from ActiveState's repository. Without these, you'll only be able to install those modules from CPAN that are pure Perl code. Any modules that need to be compiled (such as those using XS) will require that you have a compiler and make utility.
If you're using a 64-bit version of ActivePerl, I think that there might be a few more steps needed, but I'm not 100% sure about that.
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