You must download the Message Broker first. It comes as a ZIP package and there are two compilations: one for Windows and one for Linux. The Linux version of a message broker can also be deployed to BTP. Message Broker downloads are available in the SAP Download Centre but for the sake of easiness, you find all relevant links here as well.
After you have the package downloaded it must be extracted to a destination directory of your own choice. For more details check [LINUX 4.X] Message Broker Installation and Configuration Guide
Further configuration steps include (these steps depend on each other):
Configuration of the message broker
Configuration of the web services in SAP SOAMANAGER (to be exact one web service and one proxy)
General
Content
Integrations