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 downloaded the right package it must be extracted to a destination directory of your own choice. For more details on executables' installation check here if using Windows and go here in case of Linux. Deployment in BTP is covered here.
Further configuration steps include (these steps depend on each other):
Configuration of the message broker - Message Broker YAML file.
Configuration of the web services in SAP SOAMANAGER (to be exact one web service and one proxy)
Message Broker config file can be either maintained in the text editor (notepad++ is our recommendation) or using transaction /PACG/ECM_MBCF_GEN
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