sudo apt-get install texlive-base-bin
and perhaps also texlive-doc-en to get documentation.
TeX/LaTeX is run within a text editor environment,
in Windows try Winshell
or WinEdit. (See guide above)
In Linux, emacs works well.
To write a thesis in the MSU Thesis style, use MSU class definition file.
A statistics thesis should use JASA style bibliographic references, so save this file in your directory: JASA format for Bibtex. You can then use the CIS database requesting output in Bibtex format, load those all into a "ref.tex" file, and bibtex will control the references for you.
One more detail: to get JASA style punctuation, you need the bibpunct line, and these others as well.
\usepackage{natbib}
\bibpunct{(}{)}{;}{a}{}{,}
\bibliography{ref}
\bibliographystyle{jasa}
Here's an example file courtesy of Phil Turk.
Author: Jim Robison-Cox