You just use the forwarder to raise the MRN. It was really no problem, I emailed them a copy of the invoice created when I booked the DHL shipment and they had the print out ready when I arrived. Paid my €35 and went down to customs who issued the Ausfuhrbegleitdokument. Took about 10 minutes in all.
If you send separately with a value of under €1000 you don't need the MRN, just ship using DHL Express (I haven't found another way who will insure) in the normal way, or follow CW's instructions.
Good luck!