On BSD sytems:
cd /usr/ports/security/rkhunter; make install clean; rehash; rkhunter -c
(or for help with rkhunter arguments do: rkhunter -h)

On RedHat, Fedora, CentOS systems:
yum -y install rkhunter; rkhunter -c
(or for help with rkhunter arguments do: rkhunter -h)