Upgrading from:

Statistics`MultinormalDistribution`

Distributions defined in this package are included in the newly created Multivariate Statistics Package.
Random and RandomArray are replaced by RandomReal.
CovarianceMatrix and CorrelationMatrix are replaced by Covariance and Correlation.
RegionProbability is replaced by EllipsoidProbability.

Load MultivariateStatistics` to use Multivariate Statistics Package functionality:

Version 5.2 << Statistics`MultinormalDistribution`; PDF[MultinormalDistribution[{Subscript[\[Mu], 1], Subscript[\[Mu], 2]}, {{1, \[Rho]}, {\[Rho], 1}}], {x, y}]

Random elements for multivariate continuous distributions are generated via RandomReal:

Version 5.2 << Statistics`MultinormalDistribution`; Random[MultinormalDistribution[{1, 1}, {{1, 1/2}, {1/2, 1}}]]
Version 5.2 << Statistics`MultinormalDistribution`; RandomArray[MultinormalDistribution[{1, 1}, {{1, 1/2}, {1/2, 1}}], 5]

Covariance matrix for a multivariate distribution:

Version 5.2 << Statistics`MultinormalDistribution`; CovarianceMatrix[ MultinormalDistribution[{1, 1}, {{1, 1/2}, {1/2, 1}}]]