I see mitchems has answered your question for installing in Windows. As for ubuntu, I think I installed the DBD::mysql module the lazy way in ubuntu by using the Synaptic Package manager and doing a quick search for libdbd-mysql-perl. You may already have the DBI module installed as it may have been included with your Perl already. You can read more about installing these modules here.
d5e5
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I don't have Windows on my computer so I can't answer your question if you are asking about installing PPM under Windows. You have a better chance of getting the attention of someone who can help you if you start a new thread with a relevant title such as "Installing PPM (Perl Package Manager) under Windows." (This thread title is "using the 'use Mysql' command" and it's more than a year old.)
If you have a non-Windows platform such as Mac-OS or Ubuntu, please include that information in your question.
d5e5
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