I just downloaded the official 0.6 archive:
and tried starting zookeeper / kafka.
The above archive will extract the deps into a dir called "libs", but in bin/kafka-run-class.sh there's a loop to add the jars in "lib" to the classpath:
for file in $base_dir/lib/*.jar;
It's a little more complicated then that. The tarball also places kafka-0.6.jar in the root of the directory, where no scripts look. config does not seem to have the log4j properties files, which makes zookeeper sad.