<edit>Make sure you don't have an empty DBI folder in any of your directories encompassed by @INC. There could be a blank one @ C:/Perl/lib/DBI. DBI on my windows installation defaults to C:/Perl/site/lib/DBI. Make sure you don't have DBI components anywhere else but C:/Perl/site/lib/DBI. I'm just throwing out ideas here. This is a somewhat perplexing issue assuming you have done everything correctly as you say.</edit>

Chances are DBI wasn't installed by default.

Assuming you're using ActiveState's perl distribution. Go to Start->Run and type ppm and Click OK. Then at the prompt type install DBI. Then depending on what DBD driver you're using install that as well. you can type search ODBC to find ODBC modules in the repositories.

You could also download it from DBI and install it manually via Nmake1.5.