MiKTeX 2.9 Does NOT Support `hypernat`

New versions of hyperref and natbib don't need hypernat at all. So the omission should not be an issue.

The section »Integrating Local Additions« of the MiKTeX manual should help you in adding this package to your system. Note that the package won't show up in the package list of the MPM thus you will have to update the package manually.