On one hand, you can download the tarballs of modules directly from CPAN and manually install them. The problem comes when modules have prerequisite modules that you don't have. For example, let's say you want to install module #1. However, module #1 needs module #2 & #3, which you don't have. So you download those for install. However, module #2 needs module #4, which you don't have. See how this can easily become a painful process?
If you use the cpan utility, it will detect and install the needed prerequisite modules, which will make things much easier for you.
Since you're behind a corporate firewall, you're probably also sitting behind an HTTP proxy and/or an FTP proxy as well. The documentation link in marto's reply should get you started on what you need to do to get the cpan utility working with those proxy and firewall servers.