Answer:
A grounded Fareaday cage (mesh wire cage with a rod driven into the ground attached). Or turn it off and disconnect any power supply such as a battery. You can also place it inside a grounded metal container in an underground space such as a deep basement or subterranean garage.
It is important to keep in mind that if a geographic location were hit with an EMP attack, having the protected generator is not likely to be of much use unless you have a supply of similarly shielded electronic device stored as well. An EMP will short out every solid state circuit that is unshielded or not hardened for EMP.