If you want to setup a full web environment on a Windows machine, it is easiest to use a prepackaged combination of Apache, MySQL, and Perl. One such package is XAMPP at [apachefriends.org...] but there are others.
If you are using Linux or other Unix like systems, most of what you need is probably already installed.
I am very new to Perl/CGI world. I would like to install Perl software into my own machine/pc in order to test my CGI codes easily?
You want to install the SAME version of Perl as is installed upon your live server. (eg perhaps v5.6.1), so check with the version on your web server (try the command line perl -v from a shell) and then obtain the same version. It doesn't matter if it's a binary build for Windows, Linux or Mac, so long as it is the same version number.