I don't know about Win2k or NT. But on 95/98/ME the /k flag of command.com might be useful.
Changing the Open "Action" of .pl files (In folder options->file types) to "command.com /k c:\perl\bin\perl.exe" should do.
True. I would point out that the solution I provided above is also useful after programs have been run through perl2exe or any equivalent -- which was actually my original impetus.
perl -e 'print "I love $^X$\"$]!$/"#$&V"+@( NO CARRIER'