Assuming you're running windows use Strawberry Perl, as standard it has a full build environment (c compiler, build tools) and many useful additional modules, it'll make thinks simpler for you. I also work in environments where there is no direct Internet access. Consider using minicpan in a system which does have internet access to build a portable cpan mirror.
Update: It seems that since v5.18 ActiveState should attempt to download and install MinGW on first use, however this does not help you if you don't have direct internet access. Is it a case of no internet access at all, or just checking the documentation for cpan/PPM regarding proxy/network properly? See also Yes, even you can use CPAN.