The point is that you need to install DBI (which is not included in, but required by DBD::MySQL).
Regarding where you get your Perl from, it is important that you have access to the same C compiler as the one that Perl was built with. Many pre-built perls were compiled with gcc, which is best for most Unix platforms; I don't know about building Perl on AIX because I've never done it. You might need to download and build gcc, see http://directory.fsf.org/devel/compilers/gcc.html
the command perl -V will tell you how perl was built, and with which compiler and linker options. If you can reproduce this on your system, you can use the pre-supplied Perl. Otherwise I would recommend downloading the perl sources off CPAN and building them yourself. This will give you the option of adding XS extensions (external C code) - which is what both DBI and DBD::MySQL require.
Hope this helps