If you're on win32, the (poorly documented) way of installing DBI is via ActiveState's Perl Package Manager (PPM).   c:\> ppm install dbi or, for more info

  c:\> ppm
  PPM interactive shell (1.1.1) - type 'help' for available commands.
  PPM> help
[download]

I used ActiveState Perl for about 6 months before discovering PPM by looking over someone's shoulder. I'm convinced that many people never discover it.