First, you need to install Fail2Ban. For Redhat/Fedora use yum.
yum install fail2ban
CentOS: fail2ban is not available from CentOS. It will have to be manually downloaded. You can get it from EPEL, the Fedora repository.
wget http://mirror.pnl.gov/epel//6/i386/fail2ban-0.8.11-2.el6.noarch.rpm rpm -ih --percent fail2ban-0.8.11-2.el6.noarch.rpm
You might have some dependencies to install, like
yum install gamin-python wget http://mirror.pnl.gov/epel//6/i386/python-inotify-0.9.1-1.el6.noarch.rpm rpm -ih --percent python-inotify-0.9.1-1.el6.noarch.rpm
These are the most common 2 needed for CentOS users. Get them and any others possibly needed then try to install fail2ban again. Additional help is available for RPM Commands.
ALL LINUX DISTRIBUTIONS - Fail2ban is written in Python, thus no compilation is required. You can even run Fail2ban without installing it. It can always be obtained directly from http://www.fail2ban.org