I wrote a little SuDoKu player and I posted it in the code section here. It uses Tk, which is included in ActiveState distribution. Note that it does not include a puzzle generator, something that does not need a GUI :)

In win32, I associated the .plw extension to the execution with the wperl.exe program, which is basically Perl without a console. Then, you can save the game with the .plw extension, and create a link inside the "Games" menu.