Unfortunately, MS Windows doesn't know what to do with a file that has no extension. Maybe a MS Windows expert could make it work, but I'm pretty sure that would not be a good idea on Windows.

Assuming the .pl extension is properly registered and associated with perl.exe, MS Windows will "open" the program using perl.exe, which will then run it.

However, the most common way to run Perl (or other compile-on-execute (or interpreted) languages) is to create a .bat file to run the program.