Depending on the flavour of Windows you are using, there are some more possibilities. The easiest way to start your Perl script is through a .cmd file which invokes Perl with the correct parameters, but for that, you need to be on Windows NT (no USB!), Windows 2000 or Windows XP:

@echo off
cd /d %~dp0
\perl\perl.exe myscript.pl
[download]

This assumes that your USB drive looks like the following:

U:\
U:\perl
U:\perl\perl.exe
U:\myscript.cmd
U:\myscript.pl
[download]

The two files myscript.cmd and myscript.pl can be located anywhere on your USB stick, but they must be in the same directory!

If you want to script this for Windows 9x as well, you will need to register the .pl extension with Windows through a autorun.inf file in the root directory of your USB stick.