I was wondering if I could use a socket to communicate between two programs (both ways) if one program is in perl and the other is a console application ...

Absolutely!  The whole point of socket programming is that it doesn't matter what is at either end of the socket, as long as they are both 'speaking the same language' (using the correct protocol).  And if you are doing the programming at both ends, you get to define the protocol.

I don't know as much about Windows programming, so I'm afraid I can't help with your Windows specific questions.  But if you take a look at the perl modules IO::Select and IO::Socket, they should help you to do everything you need to from the Perl side.