I used Active State Perl about 8-9 years ago, and ran into similar problems. I later began using Cygwin on my Windows systems, which allowed me to use Perl in that environment much like I used it on Linux: CPAN worked as expected.
If you have (or want to gain) experience with *ix o/s's, and can invest some up-front time to install and learn Cygwin (it brings its own issues and incompatibilities), you might find it time well spent.
Cygwin has improved greatly over the years, and brings many benefits beyond CPAN for Perl. Eg, having sshd running on Cygwin+Windows, for remote access to multiple rxvt+bash+vim windows, is a productive environment for me to develop and debug Perl. This approach makes it easier to use the Linux machines that I use (fewer mental context switches needed).
One note: Using Cygwin can lead to spending less time and money on Windows-only s/w, tools, and technology.