cwinters: How about detecting whether you're running on NT and if so, closing STDERR and then re-opening it to a file? As in:

  if ($RUNNING_ON_NT) {
    close STDERR;
    open STDERR, ">>c:\\iis_is_dumb.txt" or do {
      print "Could not open error file: Fatal error";
      exit 1;
    }
  }

Setting the value of $RUNNING_ON_NT is left as an exercise for the reader... (because I don't know how to)