When you download a module manually, it's best to find the one closest to you. You can find a list of CPAN mirrors at http://mirror.cpan.org/.
You can download the source packages with your browser, or, if you know the URL of the package, you can use any command tool to do that for you. In this book, we usually use the lwp-download perl script (which is bundled with the libwww-perl package, by Gisle Aas) as a client. You can use any other utility to download the files from the Internet.
Once you've downloaded the Perl module you want, you'll need to build and install it. Some modules are 100% Perl and can just be copied to the Perl library directory. Others contain some components written in C and need to be compiled.
Let's download the CPAN shell package, which we will use shortly:
panic% lwp-download http://www.cpan.org/authors/id/ANDK/CPAN-1.60.tar.gz Saving to 'CPAN-1.60.tar.gz'... 115 KB received in 2 seconds (56.3 KB/sec)