It works here. I have Strawberry Perl v5.12.0 (32-bit) on Vista (x64).

First, I installed the module with CPAN: C:\> cpan Math::Random::MT::Auto

It compiled successfully. Strawberry Perl should come with the tools to do so, but I'm not familiar yet with the 64-bit build. Which are you using?

Finally, it also seems to run fine with code like the following: C:\> perl -MMath::Random::MT::Auto=rand -lwe "print rand for 1..5"