Service Bus is Azure Cloud solution, but it can be installed on your own hardware which must run Windows Server 2012.
the WebPI folder download folder is %LocalAppData%\Microsoft\Web Platform Installer\installers. You can get the WebPI installation file there.
If you want to install Service Bus on Citi VM, remember to disable the IE security so WebPI can work.
the service bus connection string can be retrieved by using GetSBClientConfiguration. Please make sure you import the certificate from the server to your local computer. Make sure use Get-SBAuthorizationRule to get the connection string with shared key.