When you install ActivePerl on Windows, the default setting is to associate the .pl extension with perl.exe. When you double click a .pl file in explorer, windows opens a cmd window, runs the script and closes the window. I don't find this very useful and I know a lot of newbies find it confusing (error messages flash up and disappear).

I recommend associating .pl with your favourite editor instead (I'll refrain from making a recommendation).

I also recommend installing Micorosoft's Power Toys. Specifically the doshere.inf which allows you to right click on a folder in explorer and select 'Open a command prompt here'.