ADO is basically a high-level OO interface to various low-level OLEDB data providers. ODBC is another kind of low-level data provider, and if there is no native OLEDB provider for the type of database you use, but there is an ODBC one, you can always use the OLEDB provider for ODBC to bridge that gap.
IMHO, ADO is a much more flexible option than dealing directly with a data provider like ODBC, unless you really have the need to some sort of low-level optimization. Plus, for an MS database technology like Access, using a native OLEDB provider should be faster.
Since you can't set up a DSN, I believe that something like this will work for you:
my $provider = 'Microsoft.Jet.OLEDB.4.0';
my $dir = 'c:\perl\cgi-bin';
my $dbase = 'mydb.mdb';
my $user = ''; #use if needed
my $password = ''; #use if needed
my $connStr = "Provider=$provider;Data Source=$dir\\$dbase;User ID=$us
my $conn = Win32::OLE->new('ADODB.Connection') or die("Could not creat
+e Connection: $!");
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