The Security Scanner code can be downloaded from here. If you want to build the extension from source follow check these guidelines.
Make sure you have installed the GeneXus SDK according to your GeneXus version, for this example we used GeneXus 15 Upgrade 4.
Notice that the installation process will define the following variables (assuming the installation folder is c:\gx\gx15u4):
Download the source code from the location detailed before, you can some use one of the utilities detailed here, for example:
svn checkout https://subversion.assembla.com/svn/genexus-securityscan/trunk
(trunk is associated to the latest GeneXus version).
Open the SecurityScan.sln solution file from Visual Studio.
Build the project; check the SecurityScanner.dll and pdb files were copied to your GX installation folder, for the example the location should be c:\gx\gx15u4\Packages.
Run GeneXus and validate the new option Tools | Security | Open Security Scanner.
Security Scanner extension user manual