Check that the correct association has been made with '.pl'. Assuming that you are using an ActiveState install of Perl, right click on a .pl file and select "Open With|Choose Program..." and check that Perl Command Line Interpreter is selected. If not, select it (or browse to perl.exe, probably in c:/Perl/bin) and check the 'Always use the selected program to open this kind of file' check box.

FYI, it works fine both ways for me.