What operating system are you working on? Windows, Mac OS, some form of UNIX or Linux?
Oh and the pure JDK itself will not allow you to develop EJBs, which is a J2EE (or now JEE) technology.
If you are using an
IDE such as Netbeans or Eclipse you'll find that they come with features/plug-ins that will allow you to develop EJBs (they'll also provide the libraries required)
[ December 13, 2007: Message edited by: Martijn Verburg ]