Since you are running Mandrake, in addition to using CPAN/downloading the source, you can also install a premade RPM package that will take care of everything. Head off to your local Mandrake mirror (or Mandrake CD set) and download the relevant DBI module...In the case of Mandrake 9.0 it would be perl-DBI-1.30-2mdk.i586.rpm. Then just install it:

rpm -i perl-DBI-1.30-2mdk.i586.rpm
[download]

In addition to the DBI RPM (or perl package) you will probably need a specific module for whatever database type you are connecting to. Two of the more popular ones seem to be mysql and postgresql...In the case of mysql, you would want DBD::mysql (rpm file perl-Mysql-1.22_19-5mdk.i586.rpm) and in the case of Postgres, DBD::Pg (rpm file perl-DBD-Pg-1.01-4mdk.i586.rpm, which won't be in the base install or first 3 CDs, its actually in the contribs section so check out the mirrors).