While everyone is pushing you in the direction of CPAN, which is good of course, you say that you're using ActivePerl. In that case use PPM. You can start it from the dosprompt, by typing ppm. PPM is ActiveState's tool for installing Perl modules.

You will probably already have DBI and DBD::ODBC as well as Win32::ODBC installed, since Activestate bundles these mostly with their distributions.

--HolyGrail