IIS (if that is what you are running as your webserver) needs to have an extention added to it. The shebang line is meaningless in respect to associating the file with perl in windows NT. Perl itself seems to read the line after execution has begun and will use any switches it finds there. By default, I believe activestate perl will add .pl files to be interpreted by perl. This means that if you have a file named hello.pl saved in an executable directory, perl will automatically run and the output will be sent to the browser.
The other issue is most browsers require the line
print "Content-Type: text/html\n\n";
If you do not have this line in your code before your first print statement, browsers like netscape will try to download the output, rather than display it to the screen.
Hope this helps.
Dave
UPDATE
That second part is unnecessary, as the print header should take care of it.