Your code runs fine for me. I've edited it a little to report versions:

use strict;
use warnings;
use Math::Random::MT::Auto::Range;

my $rng = Math::Random::MT::Auto::Range->new (
    LO   => 10000,
    HI   => 99999,
    TYPE => 'INTEGER'
);
my $A = $rng->rrand ();
my $B = $rng->rrand ();
my $str = "$A $B";

print "perl version $]\n";
print "Math::Random::MT::Auto::Range version $Math::Random::MT::Auto::
+Range::VERSION\n";
print $str;
[download]

which for me prints:

perl version 5.010001
Math::Random::MT::Auto::Range version 6.16
33649 69127
[download]

with the numbers in the last last line varying as expected from run to run. I'm running it on Windows XP btw.