Thanks for your help.
Here were my procedure:

cd c:\mysql\lib\opt
reimp libmysql.lib
rename LIBMYSQL.def libmysql.def
dlltool --input-def libmysql.def --dllname libmysql.dll --output-lib mysql.a rename liblibmysql.a libmysql.a
I added this parameter to the perl makefile.pl
-LC:\Programs\mysql-4.1.12-win32\lib\opt
-lmysql
Nevertheless I still get the following error:

D:\TMP\DBD-mysql-4.007>dmake
gcc -c  -IC:\perl\site\lib\auto\DBI -IC:\mysql\include -DDBD_MYSQL_INS
+ERT_ID_IS_GOOD -g         -s -O2 -DWIN32 -DHAVE_DES_FCRYPT -DPERL
_IMPLICIT_CONTEXT -DPERL_IMPLICIT_SYS -fno-strict-aliasing -DPERL_MSVC
+RT_READFIX -s -O2           -DVERSION=\"4.007\"   -DXS_VERSION=\"
4.007\"  "-IC:\perl\lib\CORE"   dbdimp.c
gcc -c  -IC:\perl\site\lib\auto\DBI -IC:\mysql\include -DDBD_MYSQL_INS
+ERT_ID_IS_GOOD -g         -s -O2 -DWIN32 -DHAVE_DES_FCRYPT -DPERL
_IMPLICIT_CONTEXT -DPERL_IMPLICIT_SYS -fno-strict-aliasing -DPERL_MSVC
+RT_READFIX -s -O2           -DVERSION=\"4.007\"   -DXS_VERSION=\"
4.007\"  "-IC:\perl\lib\CORE"   mysql.c
Running Mkbootstrap for DBD::mysql ()
C:\perl\bin\perl.exe -MExtUtils::Command -e chmod 644 mysql.bs
dlltool --def mysql.def --output-exp dll.exp
C:\perl\bin\perl.exe myld g++ -o blib\arch\auto\DBD\mysql\mysql.dll -W
+l,--base-file -Wl,dll.base -mdll -s -L"c:\perl\lib\CORE" -L"C:\Mi
nGW\lib" dbdimp.o       mysql.o -Wl,--image-base,0x1570000  C:\perl\li
+b\CORE\libperl58.a C:\MinGW\lib\libmysql.a C:\MinGW\lib\libmsvcrt
.a C:\MinGW\lib\libmoldname.a C:\MinGW\lib\libkernel32.a C:\MinGW\lib\
+libuser32.a C:\MinGW\lib\libgdi32.a C:\MinGW\lib\libwinspool.a C:
\MinGW\lib\libcomdlg32.a C:\MinGW\lib\libadvapi32.a C:\MinGW\lib\libsh
+ell32.a C:\MinGW\lib\libole32.a C:\MinGW\lib\liboleaut32.a C:\Min
GW\lib\libnetapi32.a C:\MinGW\lib\libuuid.a C:\MinGW\lib\libws2_32.a C
+:\MinGW\lib\libmpr.a C:\MinGW\lib\libwinmm.a C:\MinGW\lib\libvers
ion.a C:\MinGW\lib\libodbc32.a C:\MinGW\lib\libodbccp32.a dll.exp
dbdimp.o: In function `dbd_discon_all':
D:/TMP/DBD-mysql-4.007/dbdimp.c:1972: undefined reference to `mysql_se
+rver_end@0'
collect2: ld returned 1 exit status
dmake:  Error code 129, while making 'blib\arch\auto\DBD\mysql\mysql.d
+ll'
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