The disclaimer: I don't know ANYTHING about getting around on the windows OS, so I'll discuss the concept and leave the details to you or another forum member.
The DB package is just a warning. I remember using that package and it was really nice, for a while.
The other is a file permissions issue.
Typically the pear repository is installed in some place that is on the default php include path...just what that default path is I don't know. Say that on a unix-type OS its typically something like /usr/local or /usr/share/php...neither of which I as a user have permissions to write to. So if its a machine I have root access to I can either become superuser and install pear using a command line tool, which I did once, or I'll put the dang files in /usr/share/php myself (which also requires me having root access on the machine), which is what I do now. Sure its more work but I don't mind.
You can install pear in your home directory or any directory that you do have write permissions to and set your include path to look in that directory either with ini_set() like this ini_set('include_path', ini_get('include_path') . ":/path/to/pear") --- except that the path separator and directory separator characters are probably different on windows---- or with ini file settings, which ever you prefer. I would expect if the install tool you are using is a good one that there is a way to tell it which directory to install the pear packages into.