Those config errors just might be significant. Engaging as much telepathy as I can, I still can't get them into focus. Guessing, Guessing, Guesing... Still nothing.
collect2 is kind of perplexing. I thought that this was a part of the 'ld' suite that collected static constructors for C++ modules. Does perl 5.8.2 have C++ elements in it?
The config errors could be the source of the problem, but not knowing what they are, it's impossible to say if they might pertain to the linkage error you're displaying. Do what you can to correct them, do a "make distclean" reconfigure, and make again.
Other things that might help:
Check the version of your C compiler. It wouldn't be the first time that someone had to upgrade a compiler before upgrading other packages.
I'm not familiar with OpenBSD, so I can't say what patches might be necessary. Check to make sure that your system is up to date.
<blink>Absolutely</blink> Do a 'make test' before you do a 'make install'. The linkage error hints that perl's networking support may not be 100% happy with your OS. If that's the case, you might get/coerce a successful build, but not have all the features working. You definately don't want to overwrite a fully working installation with a busted one.
Given the above, consider installing the new 5.8.2 installation to an alternate location so you can 'kick the tires' before deciding that you want this as your default installation.