There is some source code in that example, but just enough to create a very basic EJB ... a stateless session bean ... and build it with Maven inside Eclipse. It doesn't give you a whole web application as a framework for testing that EJB, so you'd have to find another example for that.
The EJB dependencies at runtime are provided by
JBoss, which the example tells you to install. Maven knows about EJBs via:
Because the scope is listed as "provided", Maven will automatically download the necessary jars and use them for compiling the EJBs, but it won't include them in the EJB jar.