I would first attempt to remove and rebuild the Win32::ODBC module. If that fails, I would do a couple of things:

• use strict; use warnings; this may help you diagnose your issue.
• Make certain the user account that is running your script has permission to modify Windows' ODBC DSN entries.
• Use the Perl debugger (perl -d) to exec your script. Trace into the module and see where the hang is occuring -- it may not be in the compiler, as you suggest, but something during execution.
• Make sure you are checking return values and handling errors:

  use Win32::ODBC;
  Win32::ODBC::ConfigDSN(ODBC_REMOVE_DSN, "DSN=TempDSN") or
      die "Unable to remove DSN: ".Win32::ODBC::Error()."\n"
  [download]

  I suggest this because it's possible your hang is during exit or some other oddity -- if the module can print an error before the hang, it is yet more diagnostic information. And, it's just good practice to do it.

The Perl debugger can be daunting. If you have ActiveState's PDK, their GUI debugger is decent, and will be a little less confusing. If not, get the GUI debugger for free from CPAN. In fact, the latter is a better debugger (IMHO), but it does require a bit more knowledge to handle compared to the PDK debugger.