I realise I come very late in this exchange, but just in case people are still looking for answers, I got it to work with cygwin perl on Windows XP with the following tweaks :

1/

  use IO::Select;
  use IO::Socket;
  use IO::Handle;
  use IPC::Open3;
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2/

  $Pin  = new IO::Handle;       $Pin->fdopen(10, "w");
  $Pout = new IO::Handle;       $Pout->fdopen(11, "r");
  $Perr = new IO::Handle;       $Perr->fdopen(12, "r");
  $Proc = open3($Pin, $Pout, $Perr, $cmdline);
[download]

3/

  $select->add($Pin);
  $select->add($Pout);
  $select->add($Perr);
[download]

For $cmdline I used bash, to test things by hand (with STDIN added to my select and printing on $Pin what I get on my perl process' stdin).

It works beautifully.