I also use Microsoft SQL Server with PERL and I have no problems either. I use Win32::ODBC as the interface. My only complaint is the lack of error reporting but that is inherent. Of course you may not want to pay for a license and you may not need all that power. Many monks seem to be using MySQL with no problem. I haven't used DBI but it seems pretty straight forward. Some monk named gmax has a great node about dB and PERL. If you haven't seen it, check it out
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