I haven't got around to using the (more perlish way) of DBI, because I haven't had the time. But where I work, and the projects I've been working on using the ADO component with OLE has not been a problem. (I suppose this is mainly because everyone else here uses that with ASP - I'm in the minority using Perl.
Still I want to get round to using DBI, so this post has been useful to me because I'll try out DBD::ODBC first!