puff, is there a way you can post some more of your code? I was trying to recreate your problem using the following:

#!/usr/bin/perl -w
use strict;
use Win32::OLE qw|EVENTS|;

my $excel = Win32::OLE->CreateObject("Excel.Application",'Quit');
Win32::OLE->WithEvents($excel,\&Event);
$excel->{Visible} = 1;
#...etc...
Win32::OLE->MessageLoop();

sub Event {
    my ($obj, $event,@params) = @_;
    print "Event triggered: '$event'\n";
}

1;
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But to no avail, the above gives me nothing but errors:

perl colorcellexcel.pl
Win32::OLE(0.1702) error 0x80004002: "No such interface supported" at 
+colorcellexcel.pl line 7
    eval {...} called at colorcellexcel.pl line 7
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