I use linux, and your code works, except for one thing...'arrow.jpg' is not in the current directory. So I don't know what your windows problem is. I would guess that you have an old perl version, and you need to get Tk::JPEG as a separate ppm(it's standard in the newer Perl versions).
Also, unless 'arrow.jpg' is a file in the current script directory, you will need to specify the full path to it, or use something like: