I'm pretty sure that's talking about if you build the mysql libraries by hand.

From the documentation for DBD::mysql:

You may also create client files by compiling from the MySQL source di
+stribution and using

  configure --without-server
[download]

Edit: But why worry? You can install MySQL anywhere and it's handy to have a local installation. You don;t have to run the server if you don't want to ....

Hope this helps!