Two good Windows distributions of Perl are ActivePerl and Strawberry Perl.
The main difference is that if you install modules with ActivePerl you are mostly stuck with precompiled binarys from ActiveState. Strawberry Perl includes the mingw C compiler and you install modules with the "cpan" command much like on Linux.
For the most part it makes no difference, but occasionally it does make ActivePerl easier, or Strawberry Perl more flexible.