Update: I must not have been clear enough. In \Perl\bin there is an executable called wperl.exe that will run a script without opening the command prompt. It's simply a perl interpreter compiled as a Windows application rather than a console application.
Try this - Create a shortcut on the desktop with wperl c:\path\to\script.pl. Double click it and see what happens. Look ma! No DOS box! ;)
Update 2:podmaster informs me that wperl comes with all perls compiled on win32