vroom: That was quite helpful. However, in Perl 5.8.8 in Windows environment, any attempt to override SIGINT or SIGBREAK will be ignored. Furthermore, my program communicates with another interface, which is old, and must be installed on Perl 5.8.8 to work. I can't upgrade my Perl version to 5.10.0.

Anyway, the whole program is actually running within a huge Event-1.10 loop. I've setup a test environment with Perl 5.10.0 installed to experiment with your suggestion, and was letdown when Carp merely reports that CTRL/C was caught at this line:
Event::loop;