1 hour behind you here and me too am ready for some shut eye.
For the morning then...
...no the control Panel will not affect what you are doing, you can leave that in the open or drop it to the tray by clicking on the X in the top right - that does not close the panel - the Quit button exits the panel.
This is really strange because I have the same XAMPP 1.7.7 and I am replicating everything you do and I can't get this problem with the .pl scripts wanting to open or save, they all work fine - but I don't use IE.
I have an old IE6 and it asked me the same question when I went to http://localhost/printenv.pl
also when I went to http://cgi-bin/printenv.pl
but when I clicked on Open it loaded the printenv.pl correctly parsed by perl.exe in my text editor.
I associated .pl scripts for editing with my text editor and you may need to do the same - right click and select to open with your text editor.
This line is the problem with IE
print "Content-type: text/plain; charset=iso-8859-1\n\n";
It will open a text editor to display the perl script duly parsed by the perl.exe file and looks correctly formatted.
If I change that line to
print "Content-type: text/html\n\n";
then IE opens the printenv.pl file in a browser window but with no formatting of the text, it is all in one paragraph and very hard to read.
So my suggestion is to click on Open when asked and see if it produces a nice looking page in your text editor if you associated .pl files with your text editor.
Or use another browser like Firefox etc. when running your scripts locally.
It may only be the above printenv.pl file that gives issues because of the text/plain type in the print statement.
So try your own scripts now and see if you have the same issue - never did find a use for IE (only for testing web sites I develop so they look the same in all browsers).