Find where the perldl executable was installed and put its location in your path.
Make a batch file that runs perldl using its full path and put it in a location containing other executables, such as the windows/system directory.
Type the full path to perldl when you run it.
You may get better suggestions from someone who has actually run PDL on Windows (I haven't) but I thought I'd make an attempt at an answer. The PDL Mailing List will likely be a good source for answers to this and other questions.