This is not much a Perl-ish answer, but I guess it's not mostly a Perl problem - this is probably because of the threading model the object is running under. I have come across the same problem with VisualBasic and JavaScript object creation, and I have found that, to obtain different and separate independent copies, you can:

• Create an object of type WScript.Shell
• Call the "run" method on it to launch a separate browser (or whatever program you need to run)

This is a sample, just not to go completely off-topic and being thrown out of the monastery for messing with the Enemy without providing appropriate Perl code as an offer:

use Win32::OLE;
my $url = 'http://www.perlmonks.com/index.pl?node_id=';

# opens five separate instances
for (my $i = 0; $i < 5; $i++ ) {
    my $node_id = 300000 + $i;
    $obSh = Win32::OLE->new('WScript.Shell');
    $rc   = $obSh->run("IEXPLORE.EXE ${url}${node_id}", 1, false);
    undef $obSh;
}
[download]

On my Windows box, each copy of explorer is independent and separately prompts for the proxy password.

You might want to read this too.