-You may first download a an application server. Preferably go for BEA weblogic (They have a good help online)
-Install the server and use their command line tools to package the compiled code (in appropriate directory structure needed for a
EJB jar file)
-start the server
-open the administration console
-Go to deployments node and follow link to deploy new EJB
-Upload the jar file
You are all set.
For more technical details and code goto "http://www.theserverside.com"
and go to books section to get "Mastering EJBs" by Ed Roman .
You can be master ... in a months time.
Good luck !!