Normally for unix, sh configure -PREFIX=lib where lib is your local lib folder will work. Try that with use lib and see if it works right away (read the README and INSTALL documents). Berkeley make or else nmake on windows.
But things have gone badly in the past, and so I sometimes have ended up making a folder for the module namespace called by the same name next to the script. So DBD::Mysql would become folder DBD, and Mysql.so or whatever binary files you get after compiling would get unceremoniously dumped in that folder. Then adding -IDBD to the shebang line in your script often works.
This breaks if the server OS gets updated, which has happened to me in the past.