I tried installing the .zip binary today from access.redhat.com, and discovered the following:

1. Extract the contents of the jboss-eap-hornetq-5.1.1-tech-preview-installer.zip to the root of your installation (so where the jboss-eap-5.1 folder is)
2. Navigate to jboss-as/extras/hornetq and chmod +x the switch.sh script.
3. Run the installer using ./switch.sh

I don't know whether this process will change when HornetQ reaches formal GA, but it needs to go into the installation guide in the Install using zip section.