Before installing MDS, it is worth noting that it is not merely an option on the main SQL Server 2008 R2 Setup, but is instead a completely separate install. The MSI file can be found on the installation media under the path: \MasterDataServices\x64\1033_ENU\MasterDataServices.msi
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Tip
Master Data Services updates
As with SQL Server itself, it is always recommended to check for Microsoft updates before installing MDS. At the time of writing, there are cumulative updates released that include some essential updates that didn't make it into the RTM version. The latest update is available at http://support.microsoft.com/kb/2507770 and is a full installation package, meaning it can be used instead of the msi on the SQL Server installation media.
The following steps should be carried out in order to install MDS: