You can find lots of useful modules like DBI and DBD::mysql (which is the driver you'll need to work with DBI) by searching on CPAN.

Update: There I go again, not reading the whole thing, you found CPAN. I forget, does Winzip untar things? If not, you can get Unix utilities from cygwin. But I think those modules need to be compiled, so getting them from ActiveState is your best bet. Activestate does have DBI, I'm not sure about DBD::mysql. Search their site some more for their ppm files.