Hi Sean,
You need to write:
import cern.jet.stat.Gamma;
....
If this does not work, it means your class can't find the cern.jet.stat.Gamma.
I presume you have the cern... library in a .jar .
If so, you must make sure this jar is in your classpath.
I don't know how you compile your class, but if you are using some IDE, it will most likely have a Project settings where you can specify your build path libraries (jars, classes etc).
If you are using command line (javac) use the -classpath option.
See also this: http://java.sun.com/j2se/1.4.2/docs/tooldocs/windows/classpath.html