There are at least two ways to install modules if you don't have direct access to ActiveState because of a firewall.
Download nmake from Microsoft it's free, and then grab the module from CPAN and build as normal. This doesn't always work so there is option 2.
Grab the PPD from ActiveState, and unzip it onto a local webserver, and then set the repository option to your local server.
I use both options at work, as I can't configure PPM to use the Proxy (It's a silly M$ Proxy), CPAN where possible, and if it's has a binary component then download and extract to local server.