Did you install it using the *.MSI installer file or did you use the *.ZIP file? The installer sets up the file associations for you.

I see that you are using an older version of Perl. Perhaps uninstall it and try installing the latest version.

Otherwise have a look here.

However, I don't think it is a file association problem. If the file associations are not right, you get a request to choose a program to run your file, not an "access is denied" box. It looks to me that this has something to do with you not being authorized to access that file or the script runs all right but then does something you have no authority to do.