You can try adding the following to the begining of your script.

use lib 'c:/perl/lib';

then recompile and run, if it works you probably need to copy the DBD / DBI module folders along with your exe.

I usually create a sub folder called lib and drop all the required external files ( modules and dll's ) in that folder then I reference back to it using

use lib 'INSTALL_FOLDER/lib';

Dont forget about the auto folders that contain the dll's.
btw- I use Perl2exe ( which works great for me )