Events like WM_LBUTTON are meaningless outside of a GUI. So you have to also make the window, and have a Windows event loop. There's a few solutions for this, including Tk, Win32::GUI, and (maybeⁱ) Gtk. Tk and Gtk also provide Perl wrappers for most of the Windows widgets, and add some useful ones of their own. When you use Tk, setting up a callback for something like WM_LBUTTON is as simple as passing a subroutine reference to a constructor.

¹ I'm not sure whether anyone's been successful getting Gtk-Perl to work on Win32; the basic Gtk libs are available (as is Gimp). Should be do-able, but I haven't seen anyone say they've done it.