You need a local webserver to serve the pages. There are many free and Free webservers for windows. I highly recommend getting Apache - it installs easily on Windows and will provide an environment similar to that provided by the better ISPs. There is a BigApache download that will install perl and Apache and MySQL and mod_perl if those are things you might get into.

Note: you can test the scripts without the webserver, but for the full effect (i.e. seeing the results of the script in a browser) you'll need a webserver. Well actually you could use just perl to create HTML pages and then view those in a browser, but if you want something that acts like a real CGI script from the browser, you need a webserver.