To use modules under ActiveState Perl for Windows, the easiest was is to use the PPM (Perl Package Manager) program supplied with AS Perl.
To ensure it works correctly and to its maximum potential, you really need to define additional PPM respositories (places where PPM modules are stored on the web, ODP has a little list, but what follows is a long list of other PPMs that I've 'discovered'), here's a quick step through:
Go to Start->Run and enter either 'command.com' or 'cmd' dependent on your Windows version. You should then get a nice black command window (a la DOS), which you should enter the following:
PPM> set repository DevelopHelp http://ppd.develop-help.com/ppd/
PPM> set repository Roth http://www.roth.net/perl/packages/
PPM> set repository PTK http://www.xray.mpe.mpg.de/~ach/ptk/ppm/
PPM> set repository Theory http://theoryx5.uwinnipeg.ca/ppmpackages/
PPM> set repository Dada http://dada.perl.it/PPM
PPM> set repository Jenda http://jenda.krynicky.cz/perl
PPM> set repository rto http://rto.dk/packages/
PPM> set repository OpenInteract http://openinteract.sourceforge.net/p
PPM> set repository GA http://ppm.gingerall.cz
PPM> set repository EPN http://www.epn.ml.org/~spurkis/Agent/repositor
PPM> set repository JMC http://homepage.eircom.net/~jmcnamara/perl
PPM> set save
Then when you want to install a module (for example DBI), you just need to do:
PPM> search DBI
PPM> install DBI
It really is that simple (you don't even need the search line - but its nice to do it like that as then you see if there are likely to be any other packages which may be of assistance: try search for 'sql' for example!).
If you would like to create your own PPD (Perl Package Design) module that is needed with the PPMs, then this node (which also gives 'build' information) or Jenda Krynicky's guide should be of use.