How to install a module into perl

Totally new at perl I installed strawberry perl and tried to connect ot a database with an example script, but I got this:

Can't locate Win32/ODBC.pm in @INC (@INC contains: C:/strawberry/perl/site/lib C:/strawberry/perl/vendor/lib C:/strawberry/perl/lib .) at db.pl line 13.
BEGIN failed--compilation aborted at db.pl line 13.

Finding me very clever I search this ODBC.pm in my perl installation and found it under C:\strawberry\perl\vendor\lib\DBD and copied it to C:\strawberry\perl\vendor\lib\Win32.

Then I got this:

Can't locate object method "new" via package "Win32::ODBC" (perhaps you forgot to load "Win32::ODBC"?) at db.pl line 2.

I googled some more and learned that I have to install the correct module for Win32 like this:

perl -MCPAN -e shell
install Win32::ODBC

Since I am inside an intranet I have to use a proxy:

Windows XP

1. Open the Control Panel and click the System icon.
   The System Properties dialog is displayed.
2. On the Advanced tab, click on Environment Variables.
   The Environment Variables dialog is displayed.
3. Click New in the System variables panel.
   The New Sytem Variable dialog is displayed.
4. Add http_proxy with the appropriate proxy information (see examples above).

 http_proxy=http://myproxy.comp.com:8080