Wrong, wrong, wrong. The poster specifically said he was using XP. These modules are not for the console that ships with NT2K and XP (cmd.exe) and only partially works with command.com that is also included (None of the ANSI color stuff, and only limited things work on the Console) . The last time the Win32::Console was updated was in 2002. I don't know why folks assume that because it worked on 95/98 that it just works on NT/XP, in this case it doesn't. The Win32::Console::ANSI docs even tell you it specifically doesn't work on NT2K and XP on the link provided above.
Update: I was Wrong Wrong Wrong!;-)
I downloaded and built these modules (Win2K AS Perl 5.3) after the post from gellyfish ( I had previously installed from PPM repository ), and this time it bingo. I stand corrected this works. I am going to be a lot more careful about just assuming the PPM build is OK in the future. Thank you gellyfish++ !