Copy the system CPAN::Config module to ~/.cpan/CPAN/MyConfig.pm and edit it to provide your own build paths and make directives, particularly the installation prefix directory.

You will probably want to set up the PERL5LIB environment variable to let perl find your private installations.

Update: Some adaptation of this sequence of commands will set you up (tested):

$ mkdir ~/.cpan
$ mkdir ~/.cpan/CPAN
$ cd ~/.cpan/CPAN
$ cp /usr/lib/perl5/5.8.4/CPAN/Config.pm MyConfig.pm
$ perl -pi -e's!/root/\.cpan!$ENV{HOME}/.cpan!' MyConfig.pm
$ perl -pi -e'/makepl_arg/ && s!\]! PREFIX=$ENV{HOME}]!' MyConfig.pm
$ echo "export PERL5LIB=${HOME}/lib/perl5/site_perl/5.8.4/i686-linux:$
+{HOME}/lib/perl5/site_perl/5.8.4" >> ~/.bash_profile
$ . ~/.bash_profile
$ perl -MCPAN -e shell
[download]

That should be all you need to do, as long as the system CPAN setup is similar enough and your shell bash enough.