I'm using jbossesb-server-4.2MR3.zip and in the global console (i.e. localhost:8080) appears a "localhost:8080/jboss-esb-console" link broken.
JBoss ESB console is not yet ready ?
Try checking out the trunk. We're in the middle of the 4.2GA release, so you may just want to wait a few days. The ESB Console has been reved since MR3.