Normally it's best to install DBD::mysql via apt on Debian:

sudo aptitude install libdbd-mysql-perl
[download]

Debian provides native packages for the most commonly used CPAN modules, all of which have the form libfoo-bar-perl for a package Foo::Bar

That being said, if you still want to install it via cpan, you can at least satisfy all build dependencies with apt:

sudo apt-get build-dep libdbd-mysql-perl
[download]

And then try again.