That won't work. The result is a trap (protection violation), because Win32::API doesn't know how to translate undef into a C-type null. This is 5.8.8, but you get the same result from 5.8.6:

C:\test>\AS817\perl\bin\perl5.8.8.exe  -Mlib=\perl\site\lib -MWin32::A
+PI -mstrict -w
Win32::API->Import(
   'urlmon', 'URLDownloadToFile', 'PPPNP', 'N',
);

my $pCaller    = 0;
my $szURL      = 'http://somedomain.com/pic.jpg';
my $szFileName = 'c:\1img.jpg';
my $dwReserved = 8;  # Download from offline cache
my $lpfnCB     = 0;

my $res = URLDownloadToFile(
   undef,
   $szURL,
   $szFileName,
   $dwReserved,
   undef,
) or die Win32::FormatMessage(Win32::GetLastError);
^Z
Use of uninitialized value in subroutine entry at (eval 2) line 2, <DA
+TA> line 164.
Use of uninitialized value in subroutine entry at (eval 2) line 2, <DA
+TA> line 164.
[download]

This way doesn't result in a trap, though I've failed to make it download any file. Possibly because 0x8 means fetch it from the cache, but as I don't use IE, it won't find it there.

C:\test>perl  -Mlib=\perl\site\lib -MWin32::API -mstrict -w
Win32::API->Import(
   'urlmon', 'URLDownloadToFile', 'PPPNP', 'N',
);

printf "%08x\n", URLDownloadToFile(
   0,
   'http://images.google.com/intl/en/images/images_res.gif',
   'google.gif',
   8,
   0,
) or die $^E;
^Z
800c0005
[download]

The return code 0x800c005 apparently means file or server not found.

The following codes are other common error codes: 

 - 80100003. During install, one or more files are missing from downlo
+ad
   folder.

 - 800bxxxx. Anything starting with 800b is a trust failure (for examp
+le,
   800b010b - trust check failed).

 - 800Cxxxx. Anything starting with 800C is a Urlmon failure (for exam
+ple,
   800C0005 - file or server not found, 800C000B -       connection
   timeout).

 - 80040004. User canceled.
[download]

Which doesn't make a great deal of sense as my browser can fetch the gif above, but at least the call has successfully been made without trapping.