to match executable file formats based on a filename extension like DOS and I think windows does for .EXE files. (I don't know how Windows deals with these things but I think it is based on filename extension. For that matter I don't know how DOS does it either.)

Matching the filename extension is how it is done in DOS (all versions of which I am aware, not just MS-DOS but also compatibles such as PC-DOS and 4DOS) and in the old 3.x versions of Windows (with the winfile.exe file manager), plus all versions of Win95/98/Me (both command.com and also explorer.exe do it this way). You can test this by renaming an .exe file with a different extension and noting that you can no longer execute it, not even by typing the full path, filename, and new extension, not even with the start command. (There is rundll, but that's another matter.)

In NT (e.g., WinXP), explorer.exe works exactly the same way in this respect as on Win9x. However, I'm less certain about the cmd.exe command interpreter that comes with NT, since I've barely used it. (By the time WinXP came out, I was pretty well entirely switched over to Mandrake already, so I've only seen it at work, and even there my main workstation is Mandrake.)

However, as noted, Perl on Win32 still reads the shebang line.