The easiest way is probably to just create a full-range PRNG for a larger range than you care about, and when it generates a number larger than you want, just throw it away and get the next one.
Another possibility that's pretty much a variation of the same would be to use a linear feedback shift register (LFSR) to generate the numbers in the first place. This has a couple of advantages: first of all, an LFSR is probably a bit faster than most PRNGs. Second, it is (I believe) a bit easier to engineer an LFSR that produces numbers close to the range you want, and still be sure it cycles through the numbers in its range in (pseudo)random order, without any repetitions.
Without spending a lot of time on the details, the math behind LFSRs has been studied quite thoroughly. Producing one that runs through all the numbers in its range without repetition simply requires choosing a set of "taps" that correspond to an irreducible polynomial. If you don't want to search for that yourself, it's pretty easy to find tables of known ones for almost any reasonable size (e.g., doing a quick look, the wikipedia article lists them for size up to 19 bits).
If memory serves, there's at least one irreducible polynomial of ever possible bit size. That translates to the fact that in the worst case you can create a generator that has roughly twice the range you need, so on average you're throwing away (roughly) every other number you generate. Given the speed an LFSR, I'd guess you can do that and still maintain quite acceptable speed.
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