I would suggest starting with one of the samples from the SDK
You may need the SDK Refresh
[url]http://www.microsoft.com/downloads/details.aspx?familyid=8A1CA3AF-790C-4261-838A-9F0661C72887&displaylang=en[/url]
Pick a simple one like CBRSample (content based routing) in the Samples/Messaging folder.
For more advanced samples check out the Tutorials
[url]http://www.microsoft.com/downloads/details.aspx?familyid=9C64562C-3FA7-49BA-885E-82213D00776E&displaylang=en[/url]
Feel free to post any specific queries, if you have trouble with these samples