There are a number of options:

• Launch a 'console' (MS-DOS window) by going to Start->Run and typing in either command.com or cmd (dependent on your Windows version). Then just type
  cd /path/to/perl/script
  perl scriptname.pl and it'll execute in the window.
• Get an application such as Editplus or Ultraedit allow you to run Perl scripts in a window.
• Add <>; at the end of your script. You'll then have to press Enter to exit out of it