The GDBM_File module is part of the core distribution. If you have the GDBM libraries installed and where Perl's configure process can find them, it should be built when you build perl automagically.

If it's not, you need to make sure that you have the headers and the gdbm libraries properly installed; for instance on RedHat-ish distributions you'll need to also install the gdbm-devel package as well as gdbm itself. I don't know for sure about Ubuntu but there may be something similar you need to install.