$ perl -le 'use DBI; my $h = DBI->connect("dbi:ODBC:DRIVER={Easysoft O
+DBC-SQL Server};server=172.20.0.39\\SQLEXPRESS;UID=xxx;PWD=yyy;"); $h
+->{RaiseError} = 1;$h->do(q/use master/);
$ echo $?
0
$ perl -le 'use DBI; my $h = DBI->connect("dbi:ODBC:DRIVER={Easysoft O
+DBC-SQL Server};server=172.20.0.39\\SQLEXPRESS;UID=xxx;PWD=yyy;"); $h
+->{RaiseError} = 1; $h->do(q/use fred/);'
DBD::ODBC::db do failed: [unixODBC][Easysoft][SQL Server Driver 11.0][
+SQL Server]Database 'fred' does not exist. Make sure that the name is
+ entered correctly. (SQL-08004) at -e line 1.
[download]

I don't have a 'fred' database. Works for me but of course your probably using a different ODBC driver for SQL Server.