Random number generation in windows

I have been using the following code for random integer generation when developing my projects on Ubuntu GNU/linux.

class RandomInteger {
    std::mt19937 m_gen;
    std::random_device m_rd;

public:
    RandomInteger() { m_gen = std::mt19937(m_rd()); }

    int operator()(int a, int b) {
        std::uniform_int_distribution<> dis{std::min(a, b), std::max(a, b)};
        return dis(m_gen);
    }
};

This generates random numbers when calling operator(). Well at least it's random enough that it seems random. But I was surprised when I compiled the same code in windows, and my program was suddenly acting very deterministically. Turns out this code generates the same numbers every time on windows.

Was I misusing the c++ random number generators all along? Why does it seem random in linux but not in windows? What can I do to make it random on both?