I'm not sure if the Windows console understands UTF-8 unicode. If it does, and you have the proper font installed, you should be able to output UTF-8 to it, either directly, or by reopening STDOUT with

close STDOUT;
open STDOUT, ">:utf8", ""
    or die "Couldn't reopen STDOUT: $!";
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But in any case, the Windows console will not understand and decode HTML entities. You will need to use Encode to decode your HTML entities and encode them as Unicode before outputting them.

Update: See graff's reply below - I think it's more likely that Windows wants UTF-16LE if the console is Unicode-enabled, and otherwise, you should output in the current codepage of the console.