There are at least three ways I can think of. You could push the appropriate directory onto @INC in a BEGIN block, so compilation won't fail:
BEGIN {
push @INC, "/usr/lib/perl5/site_perl/Cobalt";
}
You can use the -I switch in your hashbang line:
#!/usr/bin/perl -w -I/usr/lib/perl5/site_perl/Cobalt
My favorite is the use lib syntax:
use lib "/usr/lib/perl5/site_perl/Cobalt";
The Perl faq says you can also modify the PERLLIB or PERL5LIB environmental variables. Check your .profile or .blahrc files there.