I had this problem today. I'm guessing you used the ppm GUI to install DBD::Oracle. Uninstall it and install it via the command line ( ppm install DBD-oracle), you will now get a disclaimer which you need to agree to download oci.dll.
Comment on Re^2: problem using DBD::Oracle with Active State
I used Perl 5.10 from Active State. This build has DBD::Oracle already built and compiled in to it. How will agreeing to download oci.dll change anything? I have oci.dll in teh BIN directory in Oracle.