This breaks down into pieces:
A UTM coordinate consists of a zone, a hemisphere (north or south), an easting and a northing. mgrs_to_utm will convert an MGRS coordinate string into those four values.
mgrs_to_utm is written in C. To install it, download the source code (both files) into a folder build it using GCC:
gcc -o mgrs_to_utm mgrs_to_utm.c
It will also build in Visual C++ 2008.
mgrs_to_utm is a command-line program. To convert MGRS to UTM coordinates, pass the MGRS coordinate as a parameter to mgrs_to_utm:
$ ./mgrs_to_utm 49PAN730040
Zone: 49 Hemisphere: N Easting: 173000 Northing: 1204000