Nope, just make sure it is somewhere in the path (I prefer the windows\system32 dir to keep things tidy).
You will probably need to add a -a=config as an option to make sure that config.pm is included, or you need to distribute it with your script. I consider this broken behaviour but Activestate don't agree with me :)
A great (and free) installer that might come in handy is NSIS. I use this to package my scripts to send to clients.
Hope this helps...
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