I think that the under (at least) cmd.exe setting the .pl association appropriately will do. More portable would be a shortcut pointing to "wperl.exe myscript.pl" or even "C:\path\to\wperl.exe myscript.pl". I say "wperl" because that binary won't open a terminal, which would be mostly annoying.

Update: I just realized you didn't include info about whether your script is GUI based or not. In the latter case you don't want wperl.exe; in the former you probably do...