This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
This is covered in every book on J2EE -- I'd refer you there for details. In short, Servlets (with JSPs) provide the graphical front-end of a Web Application -- what you see in the browser. EJB's run the business logic of your application -- handling things like persistence and transactions. They are really nothing alike.