The hash approach will work, but it will be memory bound if the files grow enormous. Anyway, if I were to take the hash approach, here's one way I might do it:

use strict;
use warnings;

my %indices;

open my $primary, '<', 'filename.txt' or die $!
while ( my $line = <$primary> ) {
    my $key = ( split /,/, $line )[0];
#   The following line is wrong.
#   $indices{$line} = 0;
#   Here's the correct line...
    $indices{$key} = 0;
}

close $primary;

open my $secondary, '<', 'filename2.txt' or die $!;
while ( my $line = <$secondary> ) {
    my $key = ( split /,/, $line )[0];
    if( exists $indices{$key} ) {
        $indices{$key}++;
    }
}
close $secondary;

foreach( keys %indices ) {
    if( $indices{$_} > 0 ) {
        print "$_ from the first file was found ",
              $indices{$_},
              " times in the second file.\n";
    }
}
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That's one way to do it. If your files are going to grow big enough for memory to become a concern you would need an approach that doesn't attempt to hold the whole index in memory at once. A lightweight database like SQLite could be helpful in that regard.