If you want sane behaviour for glob, you should overwrite it with the sane implementation in File::DosGlob:

use File::DosGlob qw(bsd_glob);

print join "\n", glob "d:/Leamington 24.11.05/Leamington/*.dat";
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Also, you don't need to use backslashes on Win32 - the Win32 API understands forward slashes as directory delimiters as well.