Grab a recent copy of ActiveState's perl for MSWin32 (ActivePerl 5.8.8.817 is recommended) from here. Install it.

Get the MinGW compiler distribution from here. Look for MinGW-3.1.0-1.exe. Install it.

Get dmake from here. Unpack it somewhere. ( I like to put it in a subfolder of my MinGW install location, but anywhere will do

Ensure that you have Perl\bin MinGW\bin and the dmake folder in your %PATH%. This can usually be altered from the System control panel applet, under the Advanced tab, there is an Environment variables button.

Okay. That's it. Starting a cmd prompt and issuing 'perl -MCPAN -e shell' should start up CPAN module and one can now install perl modules the 'proper' way. Some modules may not compile properly as they require external libraries and headers, but the vast majority of perl modules can now be installed with no fuss and bother >:)