You probably should use PPM to install modules unless you are comfortable with Makefiles and C. DBI and DBD::Oracle are available on ActiveState's PPM server. ppm should be available in your ActivePerl's intallation directory, usually C:\Perl\bin\ppm.bat

C:\>ppm
PPM - Programmer's Package Manager version 3.4.
Copyright (c) 2001 ActiveState Software Inc.  All Rights Reserved.

Entering interactive shell. Using Term::ReadLine::Perl as readline lib
+rary.

Profile tracking is not enabled. If you save and restore profiles manu
+ally,
your profile may be out of sync with your computer. See 'help profile'
+ for
more information.

Type 'help' to get started.

ppm> describe DBI
====================
    Name: DBI
 Version: 1.50
  Author: Tim Bunce (dbi-users@perl.org)
   Title: DBI
Abstract: Database independent interface for Perl
Location: ActiveState Package Repository
Available Platforms:
       1. MSWin32-x86-multi-thread-5.8
====================
ppm> describe DBD-Oracle
====================
    Name: DBD-Oracle
 Version: 1.17
  Author: Tim Bunce (dbi-users@perl.org)
   Title: DBD-Oracle
Abstract: Oracle database driver for the DBI module
Location: ActiveState Package Repository
Available Platforms:
       1. MSWin32-x86-multi-thread-5.8
====================
[download]

You can install packages with install.

ActiveState provides a page describing the build status of the packages.

Another repository I like is theoryx5. PPM can handle multiple repositories, you can add them with the repository add command. See the ppm documentation for details. PPM::Repositories provides a list of PPM repositories.

If you can't find a PPM package for a module you might try asking on the ppm mailing list. See ActiveState's Mailing Lists.