Are you, by chance, running your proxy.pl under Cygwin? I do, and my proxy.pl looks something like this (note forward vs. back slashes in $agent->file):

    #!/usr/bin/perl

    use HTTP::Proxy;
    use HTTP::Recorder;

    my $proxy = HTTP::Proxy->new();
    my $agent = new HTTP::Recorder( showwindow => 1 );
    
    # set the log file (optional)
    $agent->file("/tmp/myfile");

    # set HTTP::Recorder as the agent for the proxy
    $proxy->agent( $agent );

    # start the proxy
    $proxy->start();

    1;
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BTW, you may also be interested in this thread.