Go to http://www.sysinternals.com/ and grab a file system monitor and see if you can tell if there is some file that can't be accessed.

Use User Manager to turn on accounting for failed object access attempts and look in the event log to see what object can't be accessed.

Another possibility is that the DllMain code that gets run to initialize the dll when it is loaded is the cause of the error. Check the documentation for your database driver for hints.

If you are up to it, then you could modify win32.c and rebuild perl to allow you to load a dll without DllMain getting run and see if the behavior changes (or you could just roll your own dll loader to test this).