DotNetNuke has abstracted the authentication providers away from the core giving site owners the ability to add new authentication systems. You can see in the picture below that by default, the DotNetNuke installation will add the built in DotNetNuke authentication package, as well as packages for LiveID and OpenID.
If you are using an DotNetNuke for an intranet environment or any other situation where you would need an Active Directory authentication system, you can add that as well. Before you begin, you will need to download the Active Directory package from the DotNetNuke website download page.
Installing Authentication Packages on a DotNetNuke installation can only be done from the Host Settings. Also, please be aware that installing the package only makes the package available to the installation's portals; it does not enable it automatically. Actually enabling the package is up to each portal administrator and is done so via the portal's administration pages (Authentication) tab.
Once you have logged in as the site host, go to the Host Settings page and scroll down to the AuthenticationSettings section. Click on Install New Authentication System.
On the next page, you can browse to find the new authentication package. Of course, if you have downloaded the source code version, you will have to build the project first.

On the next page, you are provided with some package information and may be asked to accept the terms. This information is dependent on the individual package. Accept the terms and click on next. Please note, if you are using DNN 4.9.0 and are trying to install Active Directory 1.4, you may have trouble with your "Next" button not working. The issue is caused by the newest version of the FckEditor and while a minor inconvenience, is actually an easy fix. (You can view the thread discussing this issue here)

If you find that you have this problem, go to the DotNetNuke physical files on your computer or web server and locate the DotNetNuke.FckHtmlEditorProvider.dll in the \bin directory. Right click and rename the file by adding some arbitrary extension on the end so the file can't be used by the website for the moment. Then, place an older copy of the same binary from a previous version of DotNetNuke in the \bin directory. (You can download one here). Go back to your website and hit refresh on the browser to reload the site with the older DotNetNuke.FckHtmlEditorProvider dll. and resume by accepting the terms and clicking "Next"

The package will begin to install and you will see the typical DotNetNuke installation information screens notifying you of your successful installation.

Once you have completely installed the package, don't forget to delete the old DotNetNuke.FckHtmlEditorProvider.dll and rename the original one back to it's original name. And there you have it, a new authentication package for your DotNetNuke portals.