On the latest Ubuntu, Ubuntu 13.04 Raring Ringtail, gksu is uninstalled, by default.
gksu can be installed on Ubuntu 13.04 easily, by using:
$ sudo apt-get install gksu
To enable it, type:
$ gksu-properties
And set the authentication to sudo, like in the following image:
Because Ubuntu encourages users to use sudo, gksu is disabled by default. It has not been integrated to the latest Gnome, so gksu was dropped on Ubuntu 13.04.
I recommand you not to install gksu, and use sudo or gksudo instead. gksudo is the sudo, for graphical applications. Read this article to find out more.