You probably meant it this way:
#include <PPM_Generator.h>
PPM_Generator PPMG; //Create an object from the Class
PPMG.init(4); //Initialise the PPM generator for 4 channels (8 would be the maximum)
It's good practice to name the include file the same as the class...
... and to use the correct case for file names, it's just windows that does not need it.