This is untested on the actual perl directory tree since I don't want to trash my own perl distro but it does work on other directories. I suspect it may work fine on the perl since perl is really no longer running after the exec (you can check this in the task manager) but Win32 may keep the DLLs loaded after an exec -- I'm not sure.
#get rid of ourself
#directory to trash
my $killdir = 'c:\foo';
#replace ourselves with the win32 cmd shell
#path to this may be OS dependent (this works on NT and 2K)
exec "c:\\winnt\\system32\\cmd.exe /c RMDIR /S /Q $killdir";