Note that there are two requirements. One anonymous monk pointed out - you must have DBI installed first. The second is that you actually must have the application development client installed. The administration and runtime clients will not suffice because they're missing all the header files that are needed for compilation. (Technically, you can install the application development client, compile, and then uninstall the client and reinstall your admin or runtime client, and it should work - I've not tried that.)

If you have anything other than the above three clients, the application development tools should be selectable for installation - you don't need to go get the application development client if you already have something else, you just have to install the tools.

Hope that helps,

(PS - it's DBD::DB2, not DBI::DB2. But I doubt that's your problem here.)