I wanted to install NRPE on XenServer (6.1)
Found http://www.linuxbrigade.com/install-nrpe-on-xenserver/, but I wanted to have my own copy of the procedure.

Add the Fedora repository
wget http://dl.fedoraproject.org/pub/epel/5/$(uname -i)/epel-release-5-4.noarch.rpm
rpm -Uvh epel-release-*.rpm
sed -i 's/enabled=1/enabled=0/g' /etc/yum.repos.d/epel.repo

Install NRPE
yum install --enablerepo=epel nrpe

Set the auto start function
chkconfig nrpe on

Install the Nagios Plugins
yum install --enablerepo=epel nagios-plugins-users nagios-plugins-disk nagios-plugins-swap nagios-plugins-procs nagios-plugins-load

Edit the IPTables Firewall
nano /etc/sysconfig/iptables
Before the last REJECT line:
-A RH-Firewall-1-INPUT -m state --state NEW -m tcp -p tcp --dport 5666 -j ACCEPT

Restart the IPTables Firewall
service iptables restart

Edit your NRPE configuration
nano /etc/nagios/nrpe.cfg
Allow the IP address of your Nagios host!

Start the NRPE service
service nrpe start