The wininet API (which is updated by installing newer versions of Internet Explorer) has functions to do exactly this.

Unfortunatly for you, I've not got any example code of using it from Perl, but it may be worth looking at the relevent Microsoft newsgroup for help with WinInet

Update: I forgot to mention this API uses the same setting that IE uses, and can give false results. However, you can also use other functions from the same API to connect to the Internet using the client's configured proxy settings, etc. (13:20, 20-Aug)

--
RatArsed