If you want to use Perl, using Win32::OLE and WMI is the way to go. You can use
the SetDNSServerSearchOrder() method of the Win32_NetworkAdapterConfiguration class
in order to set up your DNS.

The iisfaq.com link tachyon gave is for changing settings on a windows DNS Server,
not for changing DNS settings for a Win98/2000 workstation. You don't need to install
anything additional to change workstation settings, just use the class method I mentioned above.

If you want this to run from a login script, and your users have admin rights on their workstations,
using netsh commands as given by Rex(Wrecks) is the best way to go.