If you're on a windows machine, I'm sure there is a way to install CPAN stuff in your own "home" space and adjust your shell environment so that perl knows to look there for modules, but I don't know the details (I'm not a windows user, thankfully).
If you're on linux or unix, you just need to make sure that your home directory contains subdirectories called "bin", "lib" and "lib/perl5". Then, run:
perl -MCPAN -e shell
You'll probably go through a long "first-time start-up" config dialog, in which all the "default" answers are the right answers. Then you'll see a prompt for action:
cpan>
Once you see that, just type something like this (supposing that your home directory is called "renovatio"):
install Statistics::R PREFIX=/home/renovatio
Any executables being installed by the module will be placed in your ~/bin directory; various module files will be placed into ~/lib/perl5/...
If you have specific problems with installing a module, you can use your shell to go into ~/.cpan/build/{Module-Package-Name}, and try reading the README and/or INSTALL files (if any), and manually doing the sequence:
perl Makefile.PL PREFIX=/home/renovatio
make
make test
make install
If you get errors that you can't understand, and the module docs don't help, try posting some of the details here. Good luck!
