As of writing this, DBD-mysql on this repository is built with MySQL 4.1.22 client library, as MySQL 5.x client library doesn't compile well with MSVC 6. This may cause problems with higher versions of MySQL (I haven't tested yet, though). Try other repositories if you want.
And if you want to build it by yourself, avoid the binary distribution of MySQL. As of writing this, it seems to be built for a single-thread environment and its client library doesn't link well with multi-thread perl libraries you usually use.