Use a ref to that sub, not a string:

$SIG{INT} = \&cleanup;
[download]

Update:
Oh, Win32. Check this out, at the bottom:
Perl Quirks on Win32

Looks like signal handling and Win32 is a bad mix.

Update, again:
Well, I am an idiot. My first suggestion (use a ref) is somewhat pointless, as the string construction should work fine, subject to the Win32 issues noted above (although the perlipc page suggests the best way is to use a ref).

Apologies...