The following works for me:

my $string = "\x{0410}\x{0411}\x{0412}";  # unicode
binmode STDOUT, ":encoding(cp1251)";
print $string, "\n";
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or

my $string = "\xc0\xc1\xc2";  # cp1251
print $string, "\n";
[download]

(Of course, you also have to set the appropriate code page ("chcp 1251") and use a font that contains the cyrillic glyphs.)

In case you want to specify the literal strings in your perl code in UTF-8 (rather than as unicode codepoints), you'd have to use utf8 to tell Perl that your script is encoded in UTF-8.