You don't specify what web server is running your script. I suspect that Apache will do the same thing on Win32 as *nix, if possible, but that IIS will do its own thing, which probably isn't SIGPIPE.
To address the OP's question: if the only concern from these cancelled scripts is stray .ZIP files that need to be deleted, there's a non-Perl solution that you might find useful.
You could give the .ZIP files their own temp directory to live in, and use cron to run tmpwatch
on that directory. Files that have sat around too long are cleaned up automatically.
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