RunMeFirst.bat runs NServiceBusHost.exe with the /installInfrastructure command line.
This in returns, installs the "infrastructure" components that are required to have an NServiceBus solution based running.
It means things like the MSMQ, Raven will be installed and also DTC will be checked if running properly.
If you got something like the following exception:
Unhandled Exception: System.UnauthorizedAccessException: Cannot create or delete the Performance Category 'nservicebus' because access is denied.
Try to run the RunMeFirst.bat as an administrator.
If you got something like:
Unhandled Exception: System.IO.FileLoadException: Could not load file or assembly 'file:///C:\NSB\3.0.4\binaries\temp\lo g4net.dll' or one of its dependencies. Operation is not supported. (Exception from HRESULT: 0x80131515) ---> System.NotSupportedException: An attempt was made to load an assembly from a network location which would have caused the assembly to be sandboxed in previous versions of the .NET Framework.
Then most likely you should have unblocked the downloaded zip file: