You must install the random package. You can probably get it from your package manager (as something like libghc-random-dev or similar), or you may cabal install random.
Edit in 2021 These days, cabal install is not the way. Instead, use cabal init to create a package and list random in your build-depends field. Compilation can be performed with cabal build (just build) or cabal run (to execute the result); interactive use is available via cabal repl.