Personally, I think not being able to connect to a MySQL database is a Good Thing :), but since you ask, how about creating an ODBC connection? If I recall correctly, it's in Start->Settings->Control Panel and the program is "Data Sources (ODBC)" - or something similar (you may have to drill down further to 'Administrative Tools').

From there, click on the System DSN tab, click add, and follow the screens. With that, your DBI connection will resemble the following:

DBI->connect( 'dbi:ODBC:mydatabase','user', 'pass',
    { RaiseError => 1 } );
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