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 ]
download the right jdk based on which OS you are using... you can use Netbeans for J2EE... as far as how to use Netbeans its not a simple one or two steps which can be discussed here... but it does come with lots of tutorials and help files so you can go through them they are quite good
The significant problems we face cannot be solved by the same level of thinking which created them – Einstein SCJP 1.5, SCWCD, SCBCD in the making