Classloading and application packaging can be tricky business in
J2EE.
I wrote a little article on classloading and packaging. Half-way down this page there's a section called 'How to Package our J2EE applications.' You might find it interesting.
Application Packaging and J2EE Classloading
As Jeanne mentioned, a good option is to have the jar in the EAR, and then have the web module reference that ear. Different development and packaging tools have different means of doing that.
Remember though, if that jar in the ear is updated, every war or ejb module must be updated at the same time to use that new jar file. That's not a big deal if you only have one web module. It might be problematic if you have many. Another option is to put a copy of the jar file in each web module's lib folder. The benefit is that this eliminates a common dependency between war files in the ear. The drawback is obvious - duplication and management.
Good luck!
-Cameron McKenzie