Erm, perl runs on windows via the activestate perl engine. You can use it for wsh, asp, com automation, etc.

Choose your language based on what interests you. If you want to do regular business apps, video games, etc. then go with C, C++, or C#. You can do some java work here but it's not as common.

If you want to do server side web apps then I'd recommend VB, C#, Java or Perl.

If you just want to learn a scripting language to manage day to day tasks then python (on linux and windows), perl (on linux and windows), or if you want something windows specific and stupidly easy then vbscript for wsh.

If you think you are ever going to do any kind of enterprise development (say n-tier business apps or the next mmog) then I'd recommend learning all you can about network programming, database programming, multithreaded programming, and all the architecture and design you can.

If you have any questions feel free to hit me up.