Hmm, not sure what the problem is. Here's what it does on my system. I've used this technique several times in the past with good success.

$ perl -v

This is perl, v5.6.1 built for MSWin32-x86-multi-thread
(with 1 registered patch, see perl -V for more detail)

Copyright 1987-2001, Larry Wall

Binary build 631 provided by ActiveState Tool Corp. http://www.ActiveS
+tate.com
Built 17:16:22 Jan  2 2002

$ perl pmerr.pl
Hello world
This is my first error
Goodbye world
This is my second and final error
I got the following errors:
   This is my first error
   This is my second and final error
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