How is the "Dos Mode" part of your title relate to the problem? If the perl script was copied from a dos machine, then a CRLF at the end of the shebang line might be the cause. But if it was created on linux, macosx or other unix system, it's not a CRLF problem, and just using pico to edit it shouldn't create a CRLF problem.

The "Permission denied" thing is probably the best indicator -- check file modes and ownership, make sure the web server process has appropriate permissions on the file (read and execute). It could be that your particular usage with pico (or some other step) set the permissions the wrong way.