If you're using ActivePerl from ActiveState you can use PPM to install modules:
C:\>ppm
PPM - Programmer's Package Manager version 3.4.
Copyright (c) 2001 ActiveState Software Inc. All Rights Reserved.
Entering interactive shell. Using Term::ReadLine::Perl as readline lib
+rary.
Type 'help' to get started.
ppm> s Module-Build
Searching in Active Repositories
1. Module-Build [0.2801] Module-Build
2. Module-Build [0.2611] Build and install Perl modules
3. Module-Build-Convert [0.21] Module-Build-Convert
4. Module-Build-JSAN [0.01] Module-Build-JSAN
ppm> i 1
