I just did a test on one of my win2k8r2 boxes, and I can reproduce the permission denied error by setting the Read Only flag on the hello.txt file before running the open on it. Could this possibly be your case?
# after setting the RO bit
c:\>perl -E "open FILE, '> hello.txt' or die $!"
Permission denied at -e line 1.
Note that you should be using 3-arg open, and lexical, not bareword file handles:
open my $fh, '>', 'hello.txt' or die $!;
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