IIRC, the problem is that Windows won't let you overwrite or delete a running program; that's why upgrades of running programs often require a reboot.

Assuming exec works properly on Windows, one possible workaround would be to launch a second script which would download the first script, then re-execute it:

# script 1
sub upgrade
{
  exec('upgrade',$0,@ARGV)
    or die "exec failed!  $!\n";
}
# upgrade script
download_new_version($ARGV[0]);
exec(@ARGV)
  or die "exec failed!  $!\n";
[download]