Let me answer a couple of these...
3) Which class is implemented in primary key class?
This actually is an interface and the answer is serializable.
4) How does stateful entity bean stores it's state?
It stores them in its instance variables
5) Why does stateless session bean does not store its state even though it has ejbActivate and ejbPassivate methods ?
These callbacks are never made by the container for stateless session beans.
6) If my browser do not support cookie and cookie is sent by the server, what will happen?
The session cannot be tracked. You should use URLencoding for this.
7) Can we use user defined threads in EJB? if no then why?
NO. The specs recommend against doing so, because
thread management is intended to be an EJB-container feature.
-Sri