On running the Connect to the Internet wizard in SBS2008 this fails with "Windows SBS did not properly configure your email." Most common solution for this seems to be http://support.microsoft.com/kb/974979
which advises to Create a new receive connector by the name "Default <servername> in Exchange EMC. However on attempting this in EMC when I click on Server Config/Hub Transport, it says "your exchange organization has no servers with the hub transport role installed". But despite looking everywhere I'm not seeing how to install the hub transport role.