CPAN can be configured to auto-follow dependencies, ask you, or skip them. It sounds like yours is set for the latter - you can change it as follows from inside the CPAN program (the second line makes the change permanent):

    o conf prerequisites_policy follow
    o conf commit
[download]

That said, that won't get around the lack of a default compiler on Windows. If you have one, A Practical Guide to Compiling C based Modules under ActiveState using Microsoft C++ and its subsequent comments are a good guide. Strawberry Perl is also worth a look at (though be aware of the 'alpha release' note):

Strawberry Perl is part of the Vanilla Perl Project to provide a binary distribution of Perl for the Windows operating system. It includes a bundled compiler and pre-installed modules that offer the ability to install XS CPAN modules directly from CPAN. The purpose of the Strawberry Perl series is to provide a practical Win32 Perl environment for experienced Perl developers to experiment with and test the installation of various CPAN modules under Win32 conditions, and to provide a useful platform for doing real work.

Hope that helps.