Are you using ActivePerl? If so, you have PPM, ActiveState's Perl Package Manger, and you should use that to install DBI and most any other module.
FAQs and usage information here:
http://aspn.activestate.com/ASPN/doc...Perl-faq2.html
Now, bear in mind, you'll need a database to talk to with DBI. The classic one to use with Perl is MySQL, but DBI can interface with a broad range of databases, including ODBC interfaces (like Access or MSSQL).