To install the pre-compiled package for run the following command:
rpm -ivh sshguard-1.0-1.i386.rpm

To install the source package and compile it your self:
1) rpm -ivh sshguard-1.0-1.src.rpm
2) cd /usr/src/redhat/SPECS
3) rpmbuild -ba sshguard.spec

A successfull build should display the final binary RPM location, which
can be installed later with the first command.