To use modules under ActiveState Perl for Windows, the easiest was is to use the PPM (Perl Package Manager) program supplied with AS Perl.
To ensure it works correctly and to its maximum potential, you really need to define additional PPM respositories (places where PPM modules are stored on the web, ODP has a little list, but what follows is a long list of other PPMs that I've 'discovered'), here's a quick step through:

Go to Start->Run and enter either 'command.com' or 'cmd' dependent on your Windows version. You should then get a nice black command window (a la DOS), which you should enter the following:

c:/> ppm
PPM> set repository DevelopHelp http://ppd.develop-help.com/ppd/
PPM> set repository Roth http://www.roth.net/perl/packages/
PPM> set repository PTK http://www.xray.mpe.mpg.de/~ach/ptk/ppm/
PPM> set repository Theory http://theoryx5.uwinnipeg.ca/ppmpackages/
PPM> set repository Dada http://dada.perl.it/PPM
PPM> set repository Jenda http://jenda.krynicky.cz/perl
PPM> set repository rto http://rto.dk/packages/
PPM> set repository OpenInteract http://openinteract.sourceforge.net/p
+pmpackages/
PPM> set repository GA http://ppm.gingerall.cz
PPM> set repository EPN http://www.epn.ml.org/~spurkis/Agent/repositor
+y 
PPM> set repository JMC http://homepage.eircom.net/~jmcnamara/perl
PPM> set save
PPM> quit
[download]

Then when you want to install a module (for example DBI), you just need to do:

c:/> ppm
PPM> search DBI
PPM> install DBI
PPM> quit
[download]

For the record, the standard Activestate repository for DBI and DBD::ODBC is http://ppm.ActiveSate.com/cgibin/PPM/ppmserver.pl?urn:/PPMServer . I know the installation I'm currently using has got a tendency to 'forget' about the PPM archives - so it's good to have a list of all of them to hand...