Thanks shotgunefx and tachyon, see below the result of using LWP::UserAgent. It's much cleaner. And it works under Windows too!

Anything else I could do to improve it?

#!/bin/perl -w
use strict;

my $BUFSIZE= 32678; # default buffer size for XML::Parser::Expat

foreach( @ARGV)
  { parseurl( $_); }

sub parseurl
  { my( $url)= @_;
    pipe( README, WRITEME) or die  "cannot create connected pipes: $!"
+;
    if( my $pid= fork)
      { # parent code: parse the incoming file
        close WRITEME; # no need to write
        while( <README>) { print ; }
        close README;
      }
    else
      { # child
    close README;
    require LWP;
    $|=1;
        my $agent    = LWP::UserAgent->new;
    my $request  = HTTP::Request->new( GET => $url);
        my $response = $agent->request( $request,
                     sub { pass_url_content( \*WRITEME, @_); }, $BUFSI
+ZE);
        $response->is_success or die "$url ", $response->message, "\n"
+;
    close WRITEME;
      }
  }

sub pass_url_content
  { my( $fh, $data, $response, $protocol)= @_;
    print $fh $data;
  }
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