It is just a slight misunderstanding. the DBD::xxx are driver modules that interface between DBI and your particular database. So pick the DBD driver for the database you want to use and install it as you would any other CPAN module.

An excellent book on DBI is "Programming the Perl DBI" by Alligator Descartes and Tim Bunce, published by O'Reilly. I found it very helpful when I was getting started.