It depends on what functionality your hosting provider supports and how willing you are to switch.
Ideally, you'll want to switch since any webhost that doesn't offer PDO is also probably making nasty mistakes elsewhere too. (PDO is the recommended way to use parameterized SQL with PHP to prevent SQL injection attacks)
If you don't want to switch, the simplest solution is probably to follow PEAR's guide to setting up a local PEAR install and then to run pear install pdo
.
A more technically correct but more involved solution, if your host allows custom HTTP daemon (Apache) setups is to build your own mod_php in your homedir with PDO enabled and use that. (Using the PDO included with PHP is, as far as I know, the recommended solution for versions that bundle it)
Another option you could try if you can't set up a custom Apache instance is to build a custom PHP but then use .htaccess to run it via FastCGI.
I can't think of any options other than that.