If you are trying to do all this through Windows Explorer, for instance, be prepared for this UI to 'lie' to you. The file is probably named "Hello World.pl.
, which is why it is a standard icon, rather than a Perl icon. If you open the file again with Notepad (or whatever) and use "File / SaveAs" to explicitly save the file as the name "Hello World.pl" you might start to see it with a Perl icon.