CPAN.pm does in fact work in Windows. It seems to me that CPAN.pm will successfully figure out how to open up and install most (if not all) pure perl packages on Win32. For modules that have compilable pieces, however, you will need Visual C++ and the appropriate INCLUDE, LIB, and PATH set up.
Since ActiveState's ppm repository is a little stale, this is a very good way to get modules if you already have a copy of Visual C++. I wish CPAN modules were more compatible with MinGW instead though -- at least that is free :)
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