I trying to run a script, but I'm getting the following error (message):

Perhaps the DBD::Pg perl module hasn't been fully installed,
or perhaps the capitalisation of 'Pg' isn't right.

But when a try to install DBD::Pg (cpan), I get this:

Configuring DBD::Pg 3.3.0
Path to pg_config?

The problem is, I do not have pg_config on this machine.
Anyone here knows what should I do?