most likely you have not configured Yii's Curl extension. Open the main.php in the protected/config.
find your "components" value and add the curl value like below
'components'=>array(
'curl' => array(
'class' => 'ext.curl.Curl',
//'options' => array(/.. additional curl options ../)
),
)
this assumes that you are using the extension from http://www.yiiframework.com/extension/yii-curl/
if this is not your extension the solution is most likely the same just modify the "ext.curl.Curl" to point to the folder with your curl extension.