If you can't get it using ppm (I'm surprised, but can't test the assertion at present) then open a command window and type:

cpan Math::Random::MT
[download]

If you are using an Active State Perl and this is the first time you've tried using cpan it'll probably want to install a compiler. Generally, aside from taking a bit of time and a little disk space, there is no problem in just letting cpan do its thing. Take the defaults for all the questions and you should be fine.