Just a followup on Emacs in case you haven't used it.. I don't know if XEmacs can do this on NT but XEmacs on Linux for example will let you open a shell in a separate frame of your window (or a separate window if you like) so that you can edit your program and run it in separate window panes. Probably you can do this with emacs in cygwin on windows if XEmacs for NT can't hack it.

I do have an interactive perl shell (accumulate lines with readline and eval, I use it to try out Gimp macros) but you would have to create an editor to do what you want.