EDIT: Rephrased the question:
I want to use ActiveMQ as a messenger service between my server and client applications.
I am trying to set up an embedded broker
You can embed a broker into your code in a number of ways, much of which is documented here. You may want to try upgrading you version since what you are using appears to be quite old as it defaulting to the now deprecated AMQ Store instead of the newer KahaDB store. You might be having issues because of a race between the client threads as they use the different connection factories which could race to create in VM brokers. If you set the create=false option on the producer and ensure the consumer thread starts after that could address the issue, or you could create the VM broker ahead of time and the add create=false to both thread's and that might do the trick.
BrokerService broker = new BrokerService();
// configure the broker
broker.setBrokerName("localhost");
broker.setUseJmx(false);
broker.start();
And then in the client code just attach via this connection factory configuration.
ActiveMQConnectionFactory cf = new ActiveMQConnectionFactory("vm://localhost?create=false");