What package did you download?
Did you install the xampp perl addon?
If you installed the perl addon did you follow the installation instructions in the xampp\readme-addon-perl.txt file, in particularly the part that tells you to run the setup_xampp.bat file 2 times to select to use the mod_perl feature?
If you don't follow the simplest of instructions then you will always be visiting this forum for help.
(How can i make possible tat .cgi are executed with perl.exe qoth a double click?)
Hard to understand all that but if I follow you this is not possible you have to type the address in the browser.
Please relay all the details asked for as I have no way of seeing what you see on your PC and no way of knowing what you tried to do as my crystal ball is in for repair after over heating with all the over use it gets in this forum.