There exist two options to install gorocksdb. You can use either a own shared library or you use the embedded RocksDB version from CockroachDB.
To install the embedded version (it might take a while):
go get -tags=embed github.com/tecbot/gorocksdb
If you want to go the way with the shared library you'll need to build RocksDB before on your machine. If you built RocksDB you can install gorocksdb now:
CGO_CFLAGS="-I/path/to/rocksdb/include" \
CGO_LDFLAGS="-L/path/to/rocksdb -lrocksdb -lstdc++ -lm -lz -lbz2 -lsnappy -llz4" \
go get github.com/tecbot/gorocksdb