If you have a website, you probably have Perl already installed on your hosts server. CGI stands for Common Gateway Interface. This is an interface that enables you to use different languages, including Perl, on you website. If you have a remote host that hosts your website for you, you won't need to install it on your PC.
If you just want to run Perl offline on windows, you could just install something like Indigo Perl:
I haven't used it in awhile but it installs Apache and Perl on Windows. It does all the work for you. I think all I had to change was the config file to localhost.
Just a suggestion. Hope it helps!