Alternatively, go to http://www.cygwin.com and click on "install cygwin now". Make sure you installl the scripting option.

After that you can write perl programs as described above and you can start them from the bash shell as long as you make then executable and set the #! line (basically, follow the UNIX instructions)

If you feel up to it, you can also compile perl from source using either cygwin with gcc and GNU make, or microsoft VC++ and nmake.