On Windows, select is only supported for sockets (it's not perl fault but a limitation of the crappy OS).

Some days ago, to solve a similar problem (Windows, pipes and multiplexing IO), I created Win32::Socketpair, a module that emulates socketpair with TCP socket connections going through the localhost interface. For instance:

use Win32::Socketpair 'winopen2';

my ($pid, $socket) = winopen2(@cmd)
  or die "unable to run command @cmd";

my $fno = fileno $socket;
my $v = '';
vec($v, $fno, 1) = 1;

while(1) {
  my $vin = $v;
  my $vout = length $data ? $v : '';
  if (select($vin, $vout, undef, undef)>0) {
    if (vec($vin, $fno, 1)) {
      sysread($socket, my $buffer, 2000)
        or last # closed
    }
    if (vec($vout, $fno, 1)) {
      syswrite($socket, $data)
        or last # closed
    }
  }
}
[download]

You can also use pipes created this way with IO::Select.

I believe that setting the socket to non-blocking is not needed if you are going to use it exclusively inside a select loop, but anyway, on Windows to set non-blocking mode for a socket you have to use this code:

ioctl($socket, 0x8004667e, 1);
[download]

Non-blocking socket read on Windows contains more information on the matter and links to other related nodes.