1. Control Panel -> Add Or Remove Program -> Add Or Remove Windows Components -> Message Queuing. Just check the checkbox on Message Queuing.
2. Just let it install. If install successfully, you can go Control Panel -> Computer Management -> Services and Applications -> Message Queuing to configure message queue.
Some unsaid prerequisite
1. Internet Information Services (IIS) must be installed
2. NT LM Security Support Provider Service must be enabled. If not, you will be prompted with "The Dependency service or group failed to start"