You must print the HTTP headers!

use strict;
use warnings;
use CGI::Carp qw(fatalsToBrowser);

my $program = "C:\full\path\to\index.bat"; # unless it's in the same d
+irectory.
print "Content-type: text/html\n\n"; # this is the header the browser 
+expects.
system $program == 0 or die "$program exited funny: $!";
[download]

Update: Updated comments.

Update: Updated system usage, as japhy said.

Update: As ww pointed, you have to return something to browser, even a simple html document saying everything's ok, or a simple redirect to another web page. If you don't, the browser will always complain about that.