The Internet Explorer start page setting is kept in the Windows registry. You can manipulate the registry using Win32::TieRegistry.
I don't have a Windows box to test this on, but something like this should work:
use Win32::TieRegistry ( Delimiter => "/" );
my $settings = $Registry->{"HKEY_CURRENT_USER/Software/Microsoft/Internet Explorer/"};
$settings->{"Main/Start Page"} = "http://www.example.com/";