HOWTO fix Perl IO::Uncompress::RawInflate errors in CPAN shell

I've run into this problem repeatedly on my work PC. Unfortunately the solutions I've seen seem to be specific to Linux distributions, and I'm using Cygwin on Windows XP. So here's my (hopefully cross-platform) solution: manually download the IO::Compress::Zlib tarball from CPAN, then build and install it manually as per the README file. The CPAN shell should now be able to unpack things again.