I'm not sure which way is best, but there are certainly many ways to do this from Perl. One example, using my DBIx::SQLEngine module:

my $sqldb = DBIx::SQLEngine->new( $dbi_dsn, $user, $passwd );

push @sql, [ $sqldb->sql_create_table( $tablename, 
        $sqldb->detect_table( $tablename ) ) ];

push @sql, $sqldb->visit_select( table => $tablename, sub {
  [ $sqldb->sql_insert( values => (shift) ) ]
} );
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The @sql array now contains a create table and several insert statements, each as a reference to an array of a SQL statement followed by a number of placeholder parameter values.

(This is not specific to MS SQL Server, so you'll probably achieve better results with one of the Windows-specific solutions others have posted, but I thought it'd be good to include a Perl implementation.)