I'm not familiar with that module, but i like to use PerlIO::gzip,
It uses the gzip format, but can transparently be used for reading & writing files.
e.g:

use PerlIO::gzip;

open( my $fh , ">:gzip", "file.txt.gz") || die $!;
print $fh "hello!\n";
close($fh);

open( my $fh2 , "<:gzip", "file.txt.gz") || die $!;
print <$fh2>;
close($fh2);
[download]

I've never tried it on windows, but it doesnt mention any caveats in the docs.
Of course, if this isnt installed on your server, it may be of no use at all!