While PAR::Packer and its associated utility pp would work, there is the idea of using shortcuts within windows to do the same thing.

Of course, this does mean that you'd have to have perl and all of its stuff installed on every machine you want to run this code on, which may or may not be the end game of this exercise. If you want to run it on more than your machine, I can highly recommend PAR::Packer and pp for making your code portable, and NSIS for creating an installer if you want to get that fancy.

Do understand the caveats of pp though: One of the biggest is that it's not going to hide or obfuscate your code. It just packs enough perl into a self-extracting executable file along with your code. Depending on the end goal of whatever you're developing, this may or may not be important.