Tried your code here, same result.

Mine was extracted from CPAN pages, as I said - I just added the headers and the "MainLoop":

#!/usr/bin/perl

use Tk;
use Tk::BrowseEntry;

my $var;
my $mw = MainWindow->new();


  $b = $mw->BrowseEntry(-label => "Label", -variable => \$var);
  $b->insert("end", "opt1");
  $b->insert("end", "opt2");
  $b->insert("end", "opt3");

  $b->pack;
$mw->Button(-text=>'Exit', -command=>sub{$mw->destroy})->pack;

MainLoop;
[download]

Don't know what's wrong. I've just tested it in a Solaris box and it worked fine. But I need to run it on Win32.