The following Duo guide outlines the steps on installing Duo Authentication Proxy: Authentication Proxy - Reference.

Below is an example configuration using CentOS with Wget installed:

yum install gcc make libffi-devel perl zlib-devel
wget https://dl.duosecurity.com/duoauthproxy-latest-src.tgz
tar xzf duoauthproxy-latest-src.tgz
cd duoauthproxy-5.1.1-7484191-src/
make
cd duoauthproxy-build/
./install

At this point step through the prompts, for example:

In what directory do you wish to install the Duo Authentication Proxy?
[/opt/duoauthproxy]
Enter the name of a user account under which the Authentication Proxy should be run. We recommend a non-privileged and locked down account.
Or you can press <Enter> and our default locked down user will be created for you:
[duo_authproxy_svc]
Enter the name of a group under which the Authentication Proxy logs will be readable. Or press <Enter> and a default group will be created for you:
[duo_authproxy_grp]