The easiest way to install it is currently the following:
1) Install a recent version of R from https://www.r-project.org/
2) Optional: For ease of use, install Rstudio from https://www.rstudio.com/
3) Open R and install all dependencies. Please ensure that you have writing permissions to install packages. Execute the following lines one by one:
install.packages("devtools")
source("http://bioconductor.org/biocLite.R")
biocLite("GenomicRanges")
biocLite("GenomicAlignments")
biocLite("Rsamtools")
library(devtools)
install_github("ataudt/aneufinder")
# Or alternatively if the above line doesn't work:
install_git("git://github.com/ataudt/aneufinder.git", branch = "master")