A "build file" is not part of the J2EE specification, but is a useful thing to have when building J2EE applications. It is a file used in conjunction with a build tool (such as
Ant) and wraps up the steps needed to build your application.
ejb-jar.xml is put in the META-INF directory of your ejb jar file. Have a look at
this, which will hopefully make it clearer.