You would want to open it as piped input, such as the following:

open(IN, sprintf("zcat %s |", $filename)) 
  or die("Can't open pipe from command 'zcat $filename' : $!\n");
while (<IN>) {
  # process lines
}
close(IN);
[download]

See also the documentation for the open() function (also available via 'perldoc -f open').

Hope that helped.

Update: (31 Oct 2004)

Added link to documentation for open(). Changed from using 'gzip -dc $filename |' to 'zcat $filename |'.