well, one way to do it would be to add /usr/bin to your path on the nix box (but that may not be advisable for other reasons). On most Win installations, typically <root>:\perl gets added to the env variable PATH. Now you can safely type the following on your shebang line

#!perl
[download]

Of course, as others have mentioned, on Win, file associations also come into play. That, however, is not always reliable. Typically .pl (or .plx) is associated with the perl binary, so .cgi would not be. Of course, typing

prompt>perl myscript.whateverextension
[download]

would work because perl itself is in the path.

And, as ikegami said, the shebang line is _the_ place for the switches.