(1) Download module from cpan, untar and here you go:
perl MakeFile.pl
nmake
nmake test
nmake install

(2)
Not that I've ever encountered.

(3)
YES (well, if you delete all the important files on the computer while waiting for the download, otherwise you're pretty much safe)

(4)
When I've installed modules they went right to the directory where Perl is kept and into its lib folder. (Of course, you can always find where they go and add it to the @inc array using use lib if need be).

(5)
There're many. I've used netfirms myself and liked it. It all depends on your needs (e.g., cgi support, php, willing to accept company's banners). I have a good site at another computer (the URL is saved, I mean) and when I get there, I'll update this if no one else has given more help in this area.