I've never used IndigoPerl, and I don't know what IPM is, but I suspect it is the equivalent of ActivePerl's PPM - ie it's meant to install pre-compiled binaries, *not* CPAN source tarballs.

To build MATH::Random::MT::Perl from CPAN source, cd to the top-level folder of the MATH-Random-MT-Perl tar.gz file that you unpacked and run:
perl Makefile.PL
then
make test
then
make install

But, instead of specifying 'make' in the above commands, use whatever it is that 'perl -V:make' reports. (I'm guessing that will be 'nmake'.)

Cheers,
Rob