Just a brief. Web Server allows web component to be deployed, such as JSP, HTML or static components etc, for those we called presentation components. These components aims to render the data which sent from the business tier. It also take charge in handling the user session.
Application server provides scaling by facilitate connection among different tier system, such as Database or Messaging system etc. It provides managment control on transaction, resource managment (eg Datasource conneciton or mail). For EJB, you are required to deployed on Application Server.
You can still think application server as a web server which actually can run like one, but Application server can do more than that.