Hi Uttam,

There is plenty of documentation available in ActiveMQ Site.

#1) 
Did u install ActiveMQ broker ?
Download, Install, Run Active MQ Broker.......

http://activemq.apache.org/getting-started.html

Active MQ has a web-console, through which one can view the list of
connections, topics, Queues.
http://activemq.apache.org/web-console.html

#2)
Install the Active MQ CPP Library that u have downloaded
http://activemq.apache.org/cms/building.html

#3)
You can directly find the executables in the example section 
and 
see the queues-created, mesages-enqueued, messages-dequeued in web-console.





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