The recommendation is to install the released version from CRAN by doing:

install.packages("RANN")

You can, however, download the tar ball, and run R CMD INSTALL on it, or use the devtools package to install the development version:

# install.packages("devtools")

library(devtools)
install_github("RANN", "jefferis")

Note: Windows users need Rtools and devtools to install this way.