From looking at their documentation (I do not use Ubuntu at this time anymore, but a Debian derivative), they have chosen not to install gksudo by default, but it is still available.
To install, type:
This should install and make available gksudo. If for some reason gksudo does not work, try just gksu (which is what gksudo was a soft link to).
UNIX Systems Engineer
Jesus saith unto him, I am the way, the truth, and the life: no man cometh unto the Father, but by me. (John 14:6 AV)