If you're new at this I would suggest you use
Tomcat instead. I use 3.2 myself when I'm just fooling around but of course it's out of date
and I'm just too lazy to install 4.0. There are no fancy GUIs and you have to manually edit everything which is good if you're starting out.
Add TOMCAT_HOME\lib\servlet.jar to your classpath. Please check your editor's docs for this.
You also might want to try out the official Sun
tutorial.
-anthony