If you use Activestate's Perl distribution, Windows should recognize the file if you add an ".pl" extension. That way, you can just double-click it in e.g. the explorer. Some more hints:

• If you need to run programs on a regular basis, take a look at the Windows Scheduler (included from Win98 onwards).
• Open Perl IDE is a nice IDE for Perl on Windows.
• Take a look at the PPM utility to install precompiled modules
• You will need MS Visual C++ if you want to compile your own modules for Activestate Perl

Hope that helps!