On Window you can do something like this. Create a batch file like this:

    perl %1
[download]

Create a link from the batch file to the desktop. Now if you drop a perl source file on the icon it will launch a command tool and run the program. The default is for the command tool to stay open but you can change that.

To execute more that one file you can do some batch hackery with %1 .. %9.

Update: Having read hiseldl's solution I realise that I was answering the wrong question. hiseldl's solution looks like the way to go.

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John.