My buddy Tim Tow of Applied OLAP has a great post up on his blog where he walks through a complete install of Essbase 11.1.1 on Windows. He even put up a nicely formatted pdf version that you can access here.
I've know Tim since we both worked for Intergraph back in the early 90's. At the time Tim was one of the worlds biggest Excel geeks and was always writing new code to leverage data from our corporate systems into Excel spreadsheets. He's been a long time Arbor/Hyperion partner and his Essbase skills and willingness to share with the development community earned him Oracle ACE Director status. I highly recommend bookmarking his blog.