Add

static void xs_init (pTHX);
EXTERN_C void boot_DynaLoader (pTHX_ CV* cv);
EXTERN_C void boot_Module (pTHX_ CV* cv);

EXTERN_C void
xs_init(pTHX)
{
    char *file = __FILE__;
    dXSUB_SYS;

    /* DynaLoader is a special case */
    newXS("DynaLoader::boot_DynaLoader", boot_DynaLoader, file);
    newXS("Module::bootstrap", boot_Module, file);
}
[download]

Change

    perl_parse(my_perl, NULL, argc, argv, (char **)NULL);
[download]

to

    perl_parse(my_perl, xs_init, argc, argv, (char **)NULL);
[download]

And then try

C:\>interp -e "Module::bootstrap();Module::say()"
[download]

and it should work :)(the dynaloader stuff is just there to show where I got it from, perlembed of course)