How about using PPM?
c:\> PPM install DBI
If you _have_ to install CPAN modules under Win32, you'll need to get a Make utility; the defaults in ActiveState are set up for the (freely available) Microsoft NMAKE utility, but you'll have to go to Microsoft to get it. The path is in one of the Windows-specific Perl FAQ's that come with the AS distribution. (sorry, but I'm not running Windows right now). And you still won't be able to install CPAN modules that require compilation unless you also have a compiler on your system.