ODBC has a query timeout. I'm not sure how to set it through Win32::ODBC, but likely it involves a sequence of $db->SetStmtOption and information taken from ODBC SQLSetStmtAttr. I'm not sure whether DBI offers a better API, but at least DBI has RaiseError, which turns database errors into Perl errors and thus makes error detection much easier.

Also see the Win32::ODBC FAQ on how to implement error checking with the ->Sql call.