I have identical setup--XP, AS809-- and your script runs to completion.

There is a slight memory growth, from ~4MB to ~6MB, but given it creating/destroying 2000 threads each loading CGI which is no lightweight, that doesn't seem significant.

...
i=999:---
parent 2104: continue
parent 2104: continue
parent 2104: waiting for join
kid=1 2104 before require
kid=1 2104 after require
parent 2104: thread exited
parent 2104: waiting for join
kid=2 2104 before require
kid=2 2104 after require
parent 2104: thread exited
i=1000:---
parent 2104: continue
kid=1 2104 before require
kid=1 2104 after require
parent 2104: continue
parent 2104: waiting for join
parent 2104: thread exited
parent 2104: waiting for join
kid=2 2104 before require
kid=2 2104 after require
parent 2104: thread exited

P:\test>perl -v

This is perl, v5.8.3 built for MSWin32-x86-multi-thread
(with 8 registered patches, see perl -V for more detail)

Copyright 1987-2003, Larry Wall

Binary build 809 provided by ActiveState Corp. http://www.ActiveState.
+com
ActiveState is a division of Sophos.
Built Feb  3 2004 00:28:51
[download]

I also added Date::Manip (about the heaviest module I have) to the list of requires. It slows it down considerably, and ups the memory usage to ~12MB - ~14 MB, but otherwise still completes without error.