A module is a code library. Modules are generally written to provide a solution to some common task, although they are often written internally as a way of managing large projects.
Pure Perl modules are generally simple to install and use regardless of the Perl installation you are using.
XS modules include code written in C and need an appropriate compiler for part of the install process. They can be much harder to install because they need to be built on the target system during the install process. ActiveState avoids the XS build issue by providing a tool (ppm) that downloads precompiled modules and installs them. Cygwin provides a *nix environment and, with an appropriate compiler, can build and install XS modules from CPAN using the usual *nix tools.
I suspect that for your task you found ActiveState to be the way to go and probably didn't need to install very many additional modules in any case.
DWIM is Perl's answer to Gödel
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