To setup this JMS connection you should identify the WL version 8.1 (or) 9.2 and Later.
Because the Configuration model is totally different from WLS8 to WLS9
Assuming you are using WLS9 and later
1) create a JMS Server and target it to any WL servers
2) Create a JMS Module [ which is the collection of all customizable JMS components]
3) then inside the Module create a Connection Factory and Queue by specifying the necessary details [ JNDI name/ etc.. ]
4) target this components to the JMS server that you have created
5) Reboot the Admin / managed servers [ though this is not mandatory in WL9 this is highly recomended for clean configuration ]
6) once the server comes live check the JNDI tree whether the components are configured properly.