Not so strange. WinZip likes making text files look like they would in windows, so it adds the carriage-return. Then when you do ./Configure, the linux kernel sees "#! /bin/sh", carriage-return, line-feed, and knows the script is supposed to be processed by a program named "/bin/sh" + carriage-return (which is a legal filename character under linux), and there is no such program to be found.
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In reply to Re^7: Installing Perl 5.10.0: problems with ./Configure by ysth
in thread Installing Perl 5.10.0: problems with ./Configure by why_bird

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