I had the same problem. I used the fixes found on <http://swox.com/list-archives/gmp-bugs/2006-July/000516.html> and it worked perfectly.
Apparently without using the above patch on the configure script, libgmp-4.2.1 only creates a static library, and Math::GMP 2.0.4 requires a shared (dynamic) library. From the bug report, it appears that you can drop back to libgmp-4.1.4 and it will also work. > None of the ideas that were provide have worked for install the CPAN > libary 'Net::SSH::Perl" because of failures wtih > 'Math::GMP'. This is a summary of what I have done base on input from > this list. Since there are other also complaining, what magic is > happening with those that get this install, what we doing wrong?? >