In order to not get a syntax error, you will have to put the argument to system inside double-quotes:

system ("set $var=$value");
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But although I have never used perl on a windows machine, I am pretty sure that this will not do what you want.
I think that you expect to see the variable you set in the script after you have run it. This will propably not happen as the script is running inside a forked shell.
I don't know if there is any way to set the environment of the calling shell.

---- amphiplex