We first need to install it. Gordon himself is explaining it very well on his website: http://wiringpi.com/download-and-install/. You just need to download it from GIT then to build it using the ./build command.
You should now be able to use the Gpio utility, type the "gpio mode 0 out" command to test it out. If nothing special appears, everything's fine. Else, if the board is printing "command not found error" or something like that, be sure that you've followed the guide and build the library.