Here's a solution using (positive & negative) look-aheads in a regex substitution..
first, note the extra tests I added to make sure it doesn't modify part of the path or a single-dot filename. Also note that the second regex assumes that hte directory separator is /.

while(<DATA>){
  # s/\.(?=.*?\.)/_/g;         # can you this if you know you have onl
+y the filename
  s#\.(?!.*?/)(?=.*?\.)#_#g;   # This one accounts for paths, and modi
+fies only the filename
  print;
}
__DATA__
test.zip
blah.blah.ext/stuff.bar/test0.file0.new_20060411.zip
test1.file1.new_20060411.zip
test2.file2.new_20060411.zip
test3.file3.new_20060411.zip
[download]

so, as a one-liner to generate the mv commands to paste into a shell:

ls | perl -ne 'chomp; $f=$_; s#\.(?!.*?/)(?=.*?\.)#_#g; print "mv $f $
+_\n";'
[download]

Update: See ikegami's warning about '. ext'