How to squeeze error message out of PDO?

I can't seem to get any error message from PDO:

#$dbh->setAttribute( PDO::ATTR_ERRMODE, PDO::ERRMODE_WARNING );
try {
  $sth = $dbh->prepare('@$%T$!!!');
  print_r($sth);
  print_r($dbh->errorInfo());
} catch (PDOException $e) {
    echo $e->getMessage();
}

It is giving out only:

PDOStatement Object
(
    [queryString] => @$%T$!!!
)
Array
(
    [0] => 00000
    [1] =>
    [2] =>
)

setAttribute doesn't help anything.

It's PHP 5.3.3 Apache 2.0 Handler
PDO Driver for MySQL enabled
Client API version mysqlnd 5.0.7-dev - 091210 - $Revision: 300533 $

What can I do to get error information?