As tye said, you can use #!perl -w on Windows. In fact, you can use the #! line on any platform to specify options. perlrun explains why:
in reply to use warnings vs. perl -w
perl itself parses the #! line, even if the operating system ignores it. There are a few other tricks perl does with the #! line, also described in perlrun.
The #! line is always examined for switches as the line is
being parsed. Thus, if you're on a machine that allows
only one argument with the #! line, or worse, doesn't even
recognize the #! line, you still can get consistent switch
behavior regardless of how Perl was invoked, even if -x
was used to find the beginning of the script.