After start of Service Bus Server setup following dialog appears:
Immediately after start the list of missing dependencies will appear (see picture below). Please note that after installation restart will be required! Note that if you previously have installed Windows Fabric component you will have to uninstall it. Note that it is not necessary to go to direct link (shown below). Simply click "I accept" to proceed. Setup will automatically download and install required components.
After installation of Service management Components 3.0 you will have to restart the machine.
After restart the installation will proceed automatically. You can find installed bits in the start menu. If all is successfully installed the start menu will contain the node “Windows Azure Service Bus”.