The CPAN documentation for Win32::Gui elaborates a little on this warning in the EXPORTS section, including a deprecation schedule for future releases. I have not used this module, but it sounds like you are doing the correct thing by adding the (). According to use:

If you do not want to call the package's import method (for instance, to stop your namespace from being altered), explicitly supply the empty list

Regarding your questions...

1. What constants did it talked about and what is the problem with them being exported ?

I guess you have to follow the SEE ALSO link inWin32::GUI::Constants to see what constants are used/needed. Generally, you don't want to clutter the namespace with unused constants, variables and functions.

2. How (syntax) do I and why should I, list my "required exports explicitly" ?

Generally speaking, the syntax to use is something like (where FOO is the name of a constant):

use Win32::GUI qw(FOO);
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You should follow the MANIFEST link and look through the scripts in the 'samples' and 't' directories to see if there are specific examples of usage.