What distribution of Perl are you using? Also, are you using 32-bit or 64-bit Perl.
If you are using Strawberry Perl, you should be able to be able to install modules just fine from CPAN.
Based on the info in your post, I'm going to assume that you are using ActiveState's ActivePerl. If you are using the 32-bit version, just use PPM to install MinGW and dmake from ActiveState's repository. Once those are installed, you can then install modules directly from CPAN.
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