I don't have ActivePerl or Tk modules installed on my system, but using the CPAN shell, I was able to download Tk::Zinc without any issues. Are you sure that you have cpan configured properly for you network (such as web/ftp proxies)?
Also, if you use your web browser to go to Tk::Zinc, you can download the tarball to manually install it. Look for the link for tk-zinc-3.303.tar.gz in the upper right hand portion of the screen. Keep in mind that if you plan to download and manually install this module, you'll have to manually take care of any needed dependencies too.