1) What can Perl do that PHP can't do?
Nothing, basically. Both languages are Turing complete, so from a theoretical point of view you can solve all solvable problems with both languages.
The important difference is how things are done. I don't know enough about PHP so I can't tell you, but I think I recall that PHP has no namespaces, which can lead to nasty name clashes if you import two modules that use the same names.
Compiling to .exe.... what happens if I just print something with the executable (print "hello")?
Compiling to an executable is not officially supported, but there are tools like par that do that.
How do I compile to a chinsy, good looking, GUI app?
You have to use a GUI toolkit. TIMTOWTDI, there's
Tk, wxperl, GTK bindings etc.