Two trains of thought :

OS goodies

First off, I'd make sure you've got a locale.inf file in %windir%\inf directory. This is the definition file for locales.
Then verify that your language is set to Polish in the Regional Settings control panel.

Perl Goodies

perl -V:d_setlocale should return "define".</code>This means that perl thinks it can handle locales. If this doesn't return define, ain't nothing gonna work
try using the locales ISO-8859-4 or ISO-8859-2 instead of pl in setlocale. These are Baltic and Central European charsets, respectively. There's 7 or so environment variables you can set if setlocale doesn't seem to work:

• LC_ALL
• LC_CTYPE
• LC_COLLATE
• LC_MONETARY
• LC_NUMERIC
• LC_TIME
• LANG

if this still doesn't work, perl should emit some error telling you that the locale is bad, or some other bad thing is occurring. Good luck!
Update Don't change locales when running scripts in Excel, or you'll mess up any currency values :(. I take it that this Z³ thing is for Zloty??