It never hurts to ask, so have you installed the Developer Tools?
I reran the test procedure on the same platform as you and everything went fine, so try installing the DBI module alone. The Bundle::DBI version installs a few other modules which might be the cause of your problem:
*** Note:
The optional PlRPC-modules (RPC::PlServer etc) are not installed.
If you want to use the DBD::Proxy driver and DBI::ProxyServer
modules, then you'll need to install the RPC::PlServer, RPC::PlClient,
Storable and Net::Daemon modules. The CPAN Bundle::DBI may help you.
You can install them any time after installing the DBI.
You do *not* need these modules for typical DBI usage.
And finally as jZed noted, check the full output of the install procedure. You should have gotten it when executing the command, but if for some reason you didn't, use the CPAN prompt (perl -MCPAN -e'shell')