Use the cpan script to install the module, like any other modules:

Yes, that's all you need. It cares about dependancies, manual pages, scripts, unit tests, and so on.

Don't try to copy files from arbitary archives anywhere on your harddisk. Perl modules aren't installed that way. For some pure-perl modules, copying may work, but with XS modules, you will fail.

Behind the scenes, cpan calls Makefile.PL or Build.PL, then make, make test, and finally make install, with make replaced by whatever make program was used to compile perl.

The reason why yo don't see a file named DBD_AnyData.pm is that the correct filename is AnyData.pm in a directory named DBD.

Alexander