The first step is download and install the latest version of NUnit since older versions are not compatible with .NET 4. NUnit version 2.5.5 can be downloaded here.

Now go to Tools -> External Tools:

I think this screen shot explains itself very well. Now its possible to add this external command to a tool bar. To do so go to View -> Toolbars -> Customize:

Press the New button and enter a name. Now open the Commands tab and add the external command (usually External Command 1 when you don’t have any other external commands) to the toolbar:

When clicking the NUnit button in the new toolbar the NUnit GUI starts and loads your test suite.

Rhino.Mocks.Exceptions.ExpectationViolationException : IMyInterface.MyVoidFunction; Expected #0, Actual #1.

using (_mock.Record())
{
  Expect.Call(_myMock.GetValue("a")).Return("b");
  /* insert expectation for void function here */
}
 
using (_mock.Playback())
{
  // DoSomething calls the mocked object's GetValue function, which returns 'b' when the parameter is 'a'
  // DoSomething also calls a void function which is located in the interface of the mocked object, so this
  // void function must be mocked too, else the test run will fail
  Assert.AreEqual("b", _myObject.DoSomething("a"));
}

When trying to create an expectation for this void function Visual Studio will give a syntax error:

Expect.Call(_myMock.MyVoidFunction()); // Argument '1': cannot convert from 'void' to 'Rhino.Mocks.Expect.Action'

On the internet I found two solutions to fix this problem. The first solution uses a delegate:

Expect.Call(delegate{ _myMock.MyVoidFunction(); });

The second solution uses a lambda:

Expect.Call(() => _myMock.MyVoidFunction());

Now the test will succeed.